CAO, Z.
2016-01-01
Tourism demand is one of the major areas of tourism economics research. The current research studies the interdependencies of international tourism demand across 24 major countries around the world. To this end, it proposes to develop a tourism demand model using an innovative approach, called the global vector autoregressive (GVAR) model. While existing tourism demand models are successful in measuring the causal effects of economic variables on tourism demand for a single origin-destinat...
A graphical vector autoregressive modelling approach to the analysis of electronic diary data
Directory of Open Access Journals (Sweden)
Zipfel Stephan
2010-04-01
Full Text Available Abstract Background In recent years, electronic diaries are increasingly used in medical research and practice to investigate patients' processes and fluctuations in symptoms over time. To model dynamic dependence structures and feedback mechanisms between symptom-relevant variables, a multivariate time series method has to be applied. Methods We propose to analyse the temporal interrelationships among the variables by a structural modelling approach based on graphical vector autoregressive (VAR models. We give a comprehensive description of the underlying concepts and explain how the dependence structure can be recovered from electronic diary data by a search over suitable constrained (graphical VAR models. Results The graphical VAR approach is applied to the electronic diary data of 35 obese patients with and without binge eating disorder (BED. The dynamic relationships for the two subgroups between eating behaviour, depression, anxiety and eating control are visualized in two path diagrams. Results show that the two subgroups of obese patients with and without BED are distinguishable by the temporal patterns which influence their respective eating behaviours. Conclusion The use of the graphical VAR approach for the analysis of electronic diary data leads to a deeper insight into patient's dynamics and dependence structures. An increasing use of this modelling approach could lead to a better understanding of complex psychological and physiological mechanisms in different areas of medical care and research.
Reconsidering the Use of Autoregressive Latent Trajectory (ALT) Models
Voelkle, Manuel C.
2008-01-01
The simultaneous estimation of autoregressive (simplex) structures and latent trajectories, so called ALT (autoregressive latent trajectory) models, is becoming an increasingly popular approach to the analysis of change. Although historically autoregressive (AR) and latent growth curve (LGC) models have been developed quite independently from each…
MACROECONOMIC FORECASTING USING BAYESIAN VECTOR AUTOREGRESSIVE APPROACH
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D. Tutberidze
2017-04-01
Full Text Available There are many arguments that can be advanced to support the forecasting activities of business entities. The underlying argument in favor of forecasting is that managerial decisions are significantly dependent on proper evaluation of future trends as market conditions are constantly changing and require a detailed analysis of future dynamics. The article discusses the importance of using reasonable macro-econometric tool by suggesting the idea of conditional forecasting through a Vector Autoregressive (VAR modeling framework. Under this framework, a macroeconomic model for Georgian economy is constructed with the few variables believed to be shaping business environment. Based on the model, forecasts of macroeconomic variables are produced, and three types of scenarios are analyzed - a baseline and two alternative ones. The results of the study provide confirmatory evidence that suggested methodology is adequately addressing the research phenomenon and can be used widely by business entities in responding their strategic and operational planning challenges. Given this set-up, it is shown empirically that Bayesian Vector Autoregressive approach provides reasonable forecasts for the variables of interest.
An Autoregressive and Distributed Lag Model Approach to Inflation in Nigeria
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Chimere Okechukwu Iheonu
2017-03-01
Full Text Available This study scrutinized the precursors of Inflation in Nigeria between the periods 1980 to 2014. The Augmented Dickey-Fuller test was engaged to test for stationarity of the variables while the Autoregressive and Distributed lag (ARDL Model was applied to capture the affiliation between inflation and selected macroeconomic variables. Our findings revealed that there exists a long run relationship between Inflation, money supply, interest rate, GDP per capita and exchange rate in Nigeria while in the short run, money supply has a significant positive one period lag effect on Inflation and Interest Rate also has a significant negative one period lag influence on Inflation in Nigeria. Recommendations are that in the short run, monetary policies should be geared towards the control of money supply and interest rate in Nigeria in other to regulate Inflation and also, the Nigerian economy can afford to vary any of human capital development or technological advancement to boost productivity without causing inflation as GDP per capita proved insignificant in the short run.
Estimation in autoregressive models with Markov regime
Ríos, Ricardo; Rodríguez, Luis
2005-01-01
In this paper we derive the consistency of the penalized likelihood method for the number state of the hidden Markov chain in autoregressive models with Markov regimen. Using a SAEM type algorithm to estimate the models parameters. We test the null hypothesis of hidden Markov Model against an autoregressive process with Markov regime.
Chain binomial models and binomial autoregressive processes.
Weiss, Christian H; Pollett, Philip K
2012-09-01
We establish a connection between a class of chain-binomial models of use in ecology and epidemiology and binomial autoregressive (AR) processes. New results are obtained for the latter, including expressions for the lag-conditional distribution and related quantities. We focus on two types of chain-binomial model, extinction-colonization and colonization-extinction models, and present two approaches to parameter estimation. The asymptotic distributions of the resulting estimators are studied, as well as their finite-sample performance, and we give an application to real data. A connection is made with standard AR models, which also has implications for parameter estimation. © 2011, The International Biometric Society.
International Nuclear Information System (INIS)
Frank, T D; Mongkolsakulvong, S
2015-01-01
In a previous study strongly nonlinear autoregressive (SNAR) models have been introduced as a generalization of the widely-used time-discrete autoregressive models that are known to apply both to Markov and non-Markovian systems. In contrast to conventional autoregressive models, SNAR models depend on process mean values. So far, only linear dependences have been studied. We consider the case in which process mean values can have a nonlinear impact on the processes under consideration. It is shown that such models describe Markov and non-Markovian many-body systems with mean field forces that exhibit a nonlinear impact on single subsystems. We exemplify that such nonlinear dependences can describe order-disorder phase transitions of time-discrete Markovian and non-Markovian many-body systems. The relevant order parameter equations are derived and issues of stability and stationarity are studied. (paper)
Leite, Argentina; Paula Rocha, Ana; Eduarda Silva, Maria
2013-06-01
Heart Rate Variability (HRV) series exhibit long memory and time-varying conditional variance. This work considers the Fractionally Integrated AutoRegressive Moving Average (ARFIMA) models with Generalized AutoRegressive Conditional Heteroscedastic (GARCH) errors. ARFIMA-GARCH models may be used to capture and remove long memory and estimate the conditional volatility in 24 h HRV recordings. The ARFIMA-GARCH approach is applied to fifteen long term HRV series available at Physionet, leading to the discrimination among normal individuals, heart failure patients, and patients with atrial fibrillation.
International Nuclear Information System (INIS)
Adom, Philip Kofi; Bekoe, William; Akoena, Sesi Kutri Komla
2012-01-01
In spite of the varying supply boosting efforts made by various governments to deal with the existing demand–supply gap in the electricity sector, the incessant growth in aggregate domestic electricity demand has made these efforts futile. As an objective, this paper attempts to identify the factors responsible for the historical growth trends in aggregate domestic electricity demand quantifying their effects both in the short-run and long-run periods using the ARDL Bounds cointegration approach and the sample period 1975 to 2005. In the long-run, real per capita GDP, industry efficiency, structural changes in the economy, and degree of urbanisation are identified as the main driving force behind the historical growth trend in aggregate domestic electricity demand. However, in the short-run, real per capita GDP, industry efficiency, and degree of urbanisation are the main drivers of aggregate domestic electricity demand. Industry efficiency is the only factor that drives aggregate domestic electricity demand downwards. However, the negative efficiency effect is insufficient to have outweighed the positive income, output, and demographic effects, hence the continual growth in aggregate domestic electricity demand. As a policy option, we recommend that appropriate electricity efficiency standards be implemented at the industry level. - Highlights: ► Real per capita GDP is the primary determinant of electricity demand both in the short and long-run. ► Industrial efficiency, structural changes and urbanisation rate play secondary role. ► The positive income, output, and demographic effects outweigh the negative efficiency effects.
Incorporating measurement error in n = 1 psychological autoregressive modeling
Schuurman, Noémi K.; Houtveen, Jan H.; Hamaker, Ellen L.
2015-01-01
Measurement error is omnipresent in psychological data. However, the vast majority of applications of autoregressive time series analyses in psychology do not take measurement error into account. Disregarding measurement error when it is present in the data results in a bias of the autoregressive parameters. We discuss two models that take measurement error into account: An autoregressive model with a white noise term (AR+WN), and an autoregressive moving average (ARMA) model. In a simulation study we compare the parameter recovery performance of these models, and compare this performance for both a Bayesian and frequentist approach. We find that overall, the AR+WN model performs better. Furthermore, we find that for realistic (i.e., small) sample sizes, psychological research would benefit from a Bayesian approach in fitting these models. Finally, we illustrate the effect of disregarding measurement error in an AR(1) model by means of an empirical application on mood data in women. We find that, depending on the person, approximately 30–50% of the total variance was due to measurement error, and that disregarding this measurement error results in a substantial underestimation of the autoregressive parameters. PMID:26283988
Optimal Hedging with the Vector Autoregressive Model
L. Gatarek (Lukasz); S.G. Johansen (Soren)
2014-01-01
markdownabstract__Abstract__ We derive the optimal hedging ratios for a portfolio of assets driven by a Cointegrated Vector Autoregressive model with general cointegration rank. Our hedge is optimal in the sense of minimum variance portfolio. We consider a model that allows for the hedges to be
Interval Forecast for Smooth Transition Autoregressive Model ...
African Journals Online (AJOL)
In this paper, we propose a simple method for constructing interval forecast for smooth transition autoregressive (STAR) model. This interval forecast is based on bootstrapping the residual error of the estimated STAR model for each forecast horizon and computing various Akaike information criterion (AIC) function. This new ...
THE ALLOMETRIC-AUTOREGRESSIVE MODEL IN GENETIC ...
African Journals Online (AJOL)
THE ALLOMETRIC-AUTOREGRESSIVE. MODEL IN GENETIC STUDIES: HERITABILITIES. AND CORRELATIONS. IN THE RAT*. M.M. Scholtz and C.Z. Roux. Animal and Dairv Science Research Institute, Prh'ate Bag X2, Irene, /675,. Republic of South Africa. (Keywords: Rat, growth model, heritabilities, correlations).
Miftahurrohmah, Brina; Iriawan, Nur; Fithriasari, Kartika
2017-06-01
Stocks are known as the financial instruments traded in the capital market which have a high level of risk. Their risks are indicated by their uncertainty of their return which have to be accepted by investors in the future. The higher the risk to be faced, the higher the return would be gained. Therefore, the measurements need to be made against the risk. Value at Risk (VaR) as the most popular risk measurement method, is frequently ignore when the pattern of return is not uni-modal Normal. The calculation of the risks using VaR method with the Normal Mixture Autoregressive (MNAR) approach has been considered. This paper proposes VaR method couple with the Mixture Laplace Autoregressive (MLAR) that would be implemented for analysing the first three biggest capitalization Islamic stock return in JII, namely PT. Astra International Tbk (ASII), PT. Telekomunikasi Indonesia Tbk (TLMK), and PT. Unilever Indonesia Tbk (UNVR). Parameter estimation is performed by employing Bayesian Markov Chain Monte Carlo (MCMC) approaches.
New interval forecast for stationary autoregressive models ...
African Journals Online (AJOL)
In this paper, we proposed a new forecasting interval for stationary Autoregressive, AR(p) models using the Akaike information criterion (AIC) function. Ordinarily, the AIC function is used to determine the order of an AR(p) process. In this study however, AIC forecast interval compared favorably with the theoretical forecast ...
Bias-correction in vector autoregressive models
DEFF Research Database (Denmark)
Engsted, Tom; Pedersen, Thomas Quistgaard
2014-01-01
We analyze the properties of various methods for bias-correcting parameter estimates in both stationary and non-stationary vector autoregressive models. First, we show that two analytical bias formulas from the existing literature are in fact identical. Next, based on a detailed simulation study...
Estimation of pure autoregressive vector models for revenue series ...
African Journals Online (AJOL)
This paper aims at applying multivariate approach to Box and Jenkins univariate time series modeling to three vector series. General Autoregressive Vector Models with time varying coefficients are estimated. The first vector is a response vector, while others are predictor vectors. By matrix expansion each vector, whether ...
Model reduction methods for vector autoregressive processes
Brüggemann, Ralf
2004-01-01
1. 1 Objective of the Study Vector autoregressive (VAR) models have become one of the dominant research tools in the analysis of macroeconomic time series during the last two decades. The great success of this modeling class started with Sims' (1980) critique of the traditional simultaneous equation models (SEM). Sims criticized the use of 'too many incredible restrictions' based on 'supposed a priori knowledge' in large scale macroeconometric models which were popular at that time. Therefore, he advo cated largely unrestricted reduced form multivariate time series models, unrestricted VAR models in particular. Ever since his influential paper these models have been employed extensively to characterize the underlying dynamics in systems of time series. In particular, tools to summarize the dynamic interaction between the system variables, such as impulse response analysis or forecast error variance decompo sitions, have been developed over the years. The econometrics of VAR models and related quantities i...
vector bilinear autoregressive time series model and its superiority ...
African Journals Online (AJOL)
In this research, a vector bilinear autoregressive time series model was proposed and used to model three revenue series(. )t ... showed that vector bilinear autoregressive (BIVAR) models provide better estimates than the long embraced linear models. ... order moving average (MA) polynomials on backward shift operator B ...
Cardiac arrhythmia classification using autoregressive modeling
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Srinivasan Narayanan
2002-11-01
Full Text Available Abstract Background Computer-assisted arrhythmia recognition is critical for the management of cardiac disorders. Various techniques have been utilized to classify arrhythmias. Generally, these techniques classify two or three arrhythmias or have significantly large processing times. A simpler autoregressive modeling (AR technique is proposed to classify normal sinus rhythm (NSR and various cardiac arrhythmias including atrial premature contraction (APC, premature ventricular contraction (PVC, superventricular tachycardia (SVT, ventricular tachycardia (VT and ventricular fibrillation (VF. Methods AR Modeling was performed on ECG data from normal sinus rhythm as well as various arrhythmias. The AR coefficients were computed using Burg's algorithm. The AR coefficients were classified using a generalized linear model (GLM based algorithm in various stages. Results AR modeling results showed that an order of four was sufficient for modeling the ECG signals. The accuracy of detecting NSR, APC, PVC, SVT, VT and VF were 93.2% to 100% using the GLM based classification algorithm. Conclusion The results show that AR modeling is useful for the classification of cardiac arrhythmias, with reasonably high accuracies. Further validation of the proposed technique will yield acceptable results for clinical implementation.
Kargoll, Boris; Omidalizarandi, Mohammad; Loth, Ina; Paffenholz, Jens-André; Alkhatib, Hamza
2018-03-01
In this paper, we investigate a linear regression time series model of possibly outlier-afflicted observations and autocorrelated random deviations. This colored noise is represented by a covariance-stationary autoregressive (AR) process, in which the independent error components follow a scaled (Student's) t-distribution. This error model allows for the stochastic modeling of multiple outliers and for an adaptive robust maximum likelihood (ML) estimation of the unknown regression and AR coefficients, the scale parameter, and the degree of freedom of the t-distribution. This approach is meant to be an extension of known estimators, which tend to focus only on the regression model, or on the AR error model, or on normally distributed errors. For the purpose of ML estimation, we derive an expectation conditional maximization either algorithm, which leads to an easy-to-implement version of iteratively reweighted least squares. The estimation performance of the algorithm is evaluated via Monte Carlo simulations for a Fourier as well as a spline model in connection with AR colored noise models of different orders and with three different sampling distributions generating the white noise components. We apply the algorithm to a vibration dataset recorded by a high-accuracy, single-axis accelerometer, focusing on the evaluation of the estimated AR colored noise model.
Modeling non-Gaussian time-varying vector autoregressive process
National Aeronautics and Space Administration — We present a novel and general methodology for modeling time-varying vector autoregressive processes which are widely used in many areas such as modeling of chemical...
A complex autoregressive model and application to monthly temperature forecasts
Directory of Open Access Journals (Sweden)
X. Gu
2005-11-01
Full Text Available A complex autoregressive model was established based on the mathematic derivation of the least squares for the complex number domain which is referred to as the complex least squares. The model is different from the conventional way that the real number and the imaginary number are separately calculated. An application of this new model shows a better forecast than forecasts from other conventional statistical models, in predicting monthly temperature anomalies in July at 160 meteorological stations in mainland China. The conventional statistical models include an autoregressive model, where the real number and the imaginary number are separately disposed, an autoregressive model in the real number domain, and a persistence-forecast model.
Testing and modelling autoregressive conditional heteroskedasticity of streamflow processes
Directory of Open Access Journals (Sweden)
W. Wang
2005-01-01
Full Text Available Conventional streamflow models operate under the assumption of constant variance or season-dependent variances (e.g. ARMA (AutoRegressive Moving Average models for deseasonalized streamflow series and PARMA (Periodic AutoRegressive Moving Average models for seasonal streamflow series. However, with McLeod-Li test and Engle's Lagrange Multiplier test, clear evidences are found for the existence of autoregressive conditional heteroskedasticity (i.e. the ARCH (AutoRegressive Conditional Heteroskedasticity effect, a nonlinear phenomenon of the variance behaviour, in the residual series from linear models fitted to daily and monthly streamflow processes of the upper Yellow River, China. It is shown that the major cause of the ARCH effect is the seasonal variation in variance of the residual series. However, while the seasonal variation in variance can fully explain the ARCH effect for monthly streamflow, it is only a partial explanation for daily flow. It is also shown that while the periodic autoregressive moving average model is adequate in modelling monthly flows, no model is adequate in modelling daily streamflow processes because none of the conventional time series models takes the seasonal variation in variance, as well as the ARCH effect in the residuals, into account. Therefore, an ARMA-GARCH (Generalized AutoRegressive Conditional Heteroskedasticity error model is proposed to capture the ARCH effect present in daily streamflow series, as well as to preserve seasonal variation in variance in the residuals. The ARMA-GARCH error model combines an ARMA model for modelling the mean behaviour and a GARCH model for modelling the variance behaviour of the residuals from the ARMA model. Since the GARCH model is not followed widely in statistical hydrology, the work can be a useful addition in terms of statistical modelling of daily streamflow processes for the hydrological community.
Application of autoregressive moving average model in reactor noise analysis
International Nuclear Information System (INIS)
Tran Dinh Tri
1993-01-01
The application of an autoregressive (AR) model to estimating noise measurements has achieved many successes in reactor noise analysis in the last ten years. The physical processes that take place in the nuclear reactor, however, are described by an autoregressive moving average (ARMA) model rather than by an AR model. Consequently more correct results could be obtained by applying the ARMA model instead of the AR model to reactor noise analysis. In this paper the system of the generalised Yule-Walker equations is derived from the equation of an ARMA model, then a method for its solution is given. Numerical results show the applications of the method proposed. (author)
Modelling cointegration in the vector autoregressive model
DEFF Research Database (Denmark)
Johansen, Søren
2000-01-01
A survey is given of some results obtained for the cointegrated VAR. The Granger representation theorem is discussed and the notions of cointegration and common trends are defined. The statistical model for cointegrated I(1) variables is defined, and it is shown how hypotheses on the cointegratin...
Modeling Autoregressive Processes with Moving-Quantiles-Implied Nonlinearity
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Isao Ishida
2015-01-01
Full Text Available We introduce and investigate some properties of a class of nonlinear time series models based on the moving sample quantiles in the autoregressive data generating process. We derive a test fit to detect this type of nonlinearity. Using the daily realized volatility data of Standard & Poor’s 500 (S&P 500 and several other indices, we obtained good performance using these models in an out-of-sample forecasting exercise compared with the forecasts obtained based on the usual linear heterogeneous autoregressive and other models of realized volatility.
An autoregressive growth model for longitudinal item analysis.
Jeon, Minjeong; Rabe-Hesketh, Sophia
2016-09-01
A first-order autoregressive growth model is proposed for longitudinal binary item analysis where responses to the same items are conditionally dependent across time given the latent traits. Specifically, the item response probability for a given item at a given time depends on the latent trait as well as the response to the same item at the previous time, or the lagged response. An initial conditions problem arises because there is no lagged response at the initial time period. We handle this problem by adapting solutions proposed for dynamic models in panel data econometrics. Asymptotic and finite sample power for the autoregressive parameters are investigated. The consequences of ignoring local dependence and the initial conditions problem are also examined for data simulated from a first-order autoregressive growth model. The proposed methods are applied to longitudinal data on Korean students' self-esteem.
A Bayesian Infinite Hidden Markov Vector Autoregressive Model
D. Nibbering (Didier); R. Paap (Richard); M. van der Wel (Michel)
2016-01-01
textabstractWe propose a Bayesian infinite hidden Markov model to estimate time-varying parameters in a vector autoregressive model. The Markov structure allows for heterogeneity over time while accounting for state-persistence. By modelling the transition distribution as a Dirichlet process mixture
Modeling corporate defaults: Poisson autoregressions with exogenous covariates (PARX)
DEFF Research Database (Denmark)
Agosto, Arianna; Cavaliere, Guiseppe; Kristensen, Dennis
We develop a class of Poisson autoregressive models with additional covariates (PARX) that can be used to model and forecast time series of counts. We establish the time series properties of the models, including conditions for stationarity and existence of moments. These results are in turn used...
Vector bilinear autoregressive time series model and its superiority ...
African Journals Online (AJOL)
In this research, a vector bilinear autoregressive time series model was proposed and used to model three revenue series (X1, X2, X3) . The “orders” of the three series were identified on the basis of the distribution of autocorrelation and partial autocorrelation functions and were used to construct the vector bilinear models.
CICAAR - Convolutive ICA with an Auto-Regressive Inverse Model
DEFF Research Database (Denmark)
Dyrholm, Mads; Hansen, Lars Kai
2004-01-01
We invoke an auto-regressive IIR inverse model for convolutive ICA and derive expressions for the likelihood and its gradient. We argue that optimization will give a stable inverse. When there are more sensors than sources the mixing model parameters are estimated in a second step by least squares...
A note on intrinsic Conditional Autoregressive models for disconnected graphs
Freni-Sterrantino, Anna
2017-05-13
In this note we discuss (Gaussian) intrinsic conditional autoregressive (CAR) models for disconnected graphs, with the aim of providing practical guidelines for how these models should be defined, scaled and implemented. We show how these suggestions can be implemented in two examples on disease mapping.
Testing exact rational expectations in cointegrated vector autoregressive models
DEFF Research Database (Denmark)
Johansen, Søren; Swensen, Anders Rygh
1999-01-01
This paper considers the testing of restrictions implied by rational expectations hypotheses in a cointegrated vector autoregressive model for I(1) variables. If the rational expectations involve one-step-ahead observations only and the coefficients are known, an explicit parameterization...
Robust bayesian analysis of an autoregressive model with ...
African Journals Online (AJOL)
In this work, robust Bayesian analysis of the Bayesian estimation of an autoregressive model with exponential innovations is performed. Using a Bayesian robustness methodology, we show that, using a suitable generalized quadratic loss, we obtain optimal Bayesian estimators of the parameters corresponding to the ...
The cointegrated vector autoregressive model with general deterministic terms
DEFF Research Database (Denmark)
Johansen, Søren; Nielsen, Morten Ørregaard
In the cointegrated vector autoregression (CVAR) literature, deterministic terms have until now been analyzed on a case-by-case, or as-needed basis. We give a comprehensive unified treatment of deterministic terms in the additive model X(t)= Z(t) + Y(t), where Z(t) belongs to a large class...
Kumaraswamy autoregressive moving average models for double bounded environmental data
Bayer, Fábio Mariano; Bayer, Débora Missio; Pumi, Guilherme
2017-12-01
In this paper we introduce the Kumaraswamy autoregressive moving average models (KARMA), which is a dynamic class of models for time series taking values in the double bounded interval (a,b) following the Kumaraswamy distribution. The Kumaraswamy family of distribution is widely applied in many areas, especially hydrology and related fields. Classical examples are time series representing rates and proportions observed over time. In the proposed KARMA model, the median is modeled by a dynamic structure containing autoregressive and moving average terms, time-varying regressors, unknown parameters and a link function. We introduce the new class of models and discuss conditional maximum likelihood estimation, hypothesis testing inference, diagnostic analysis and forecasting. In particular, we provide closed-form expressions for the conditional score vector and conditional Fisher information matrix. An application to environmental real data is presented and discussed.
Single-Index Additive Vector Autoregressive Time Series Models
LI, YEHUA
2009-09-01
We study a new class of nonlinear autoregressive models for vector time series, where the current vector depends on single-indexes defined on the past lags and the effects of different lags have an additive form. A sufficient condition is provided for stationarity of such models. We also study estimation of the proposed model using P-splines, hypothesis testing, asymptotics, selection of the order of the autoregression and of the smoothing parameters and nonlinear forecasting. We perform simulation experiments to evaluate our model in various settings. We illustrate our methodology on a climate data set and show that our model provides more accurate yearly forecasts of the El Niño phenomenon, the unusual warming of water in the Pacific Ocean. © 2009 Board of the Foundation of the Scandinavian Journal of Statistics.
Likelihood inference for a nonstationary fractional autoregressive model
DEFF Research Database (Denmark)
Johansen, Søren; Ørregård Nielsen, Morten
2010-01-01
This paper discusses model-based inference in an autoregressive model for fractional processes which allows the process to be fractional of order d or d-b. Fractional differencing involves infinitely many past values and because we are interested in nonstationary processes we model the data X1......,...,X_{T} given the initial values X_{-n}, n=0,1,..., as is usually done. The initial values are not modeled but assumed to be bounded. This represents a considerable generalization relative to all previous work where it is assumed that initial values are zero. For the statistical analysis we assume...... the conditional Gaussian likelihood and for the probability analysis we also condition on initial values but assume that the errors in the autoregressive model are i.i.d. with suitable moment conditions. We analyze the conditional likelihood and its derivatives as stochastic processes in the parameters, including...
To center or not to center? Investigating inertia with a multilevel autoregressive model
Directory of Open Access Journals (Sweden)
Ellen L. Hamaker
2015-01-01
Full Text Available Whether level 1 predictors should be centered per cluster has received considerable attention in the multilevel literature. While most agree that there is no one preferred approach, it has also been argued that cluster mean centering is desirable when the within-cluster slope and the between-cluster slope are expected to deviate, and the main interest is in the within-cluster slope. However, we show in a series of simulations that if one has a multilevel autoregressive model in which the level 1 predictor is the lagged outcome variable (i.e., the outcome variable at the previous occasion, cluster mean centering will in general lead to a downward bias in the parameter estimate of the within-cluster slope (i.e., the autoregressive relationship. This is particularly relevant if the main question is whether there is on average an autoregressive effect. Nonetheless, we show that if the main interest is in estimating the effect of a level 2 predictor on the autoregressive parameter (i.e., a cross-level interaction, cluster mean centering should be preferred over other forms of centering. Hence, researchers should be clear on what is considered the main goal of their study, and base their choice of centering method on this when using a multilevel autoregressive model.
Mathematical model with autoregressive process for electrocardiogram signals
Evaristo, Ronaldo M.; Batista, Antonio M.; Viana, Ricardo L.; Iarosz, Kelly C.; Szezech, José D., Jr.; Godoy, Moacir F. de
2018-04-01
The cardiovascular system is composed of the heart, blood and blood vessels. Regarding the heart, cardiac conditions are determined by the electrocardiogram, that is a noninvasive medical procedure. In this work, we propose autoregressive process in a mathematical model based on coupled differential equations in order to obtain the tachograms and the electrocardiogram signals of young adults with normal heartbeats. Our results are compared with experimental tachogram by means of Poincaré plot and dentrended fluctuation analysis. We verify that the results from the model with autoregressive process show good agreement with experimental measures from tachogram generated by electrical activity of the heartbeat. With the tachogram we build the electrocardiogram by means of coupled differential equations.
THE ALLOMETRIC-AUTOREGRESSIVE MODEL IN GENETIC ...
African Journals Online (AJOL)
phase is described by a straight line in terms of slope and intercept. and the different growth phases are shown to be associated with physiological processes in the rat. There are significant differences between families for some of the parameters in the first 2 phases. This indicates that the model may have possibilities in the ...
Analysis of nonlinear systems using ARMA [autoregressive moving average] models
International Nuclear Information System (INIS)
Hunter, N.F. Jr.
1990-01-01
While many vibration systems exhibit primarily linear behavior, a significant percentage of the systems encountered in vibration and model testing are mildly to severely nonlinear. Analysis methods for such nonlinear systems are not yet well developed and the response of such systems is not accurately predicted by linear models. Nonlinear ARMA (autoregressive moving average) models are one method for the analysis and response prediction of nonlinear vibratory systems. In this paper we review the background of linear and nonlinear ARMA models, and illustrate the application of these models to nonlinear vibration systems. We conclude by summarizing the advantages and disadvantages of ARMA models and emphasizing prospects for future development. 14 refs., 11 figs
Integer Valued Autoregressive Models for Tipping Bucket Rainfall Measurements
DEFF Research Database (Denmark)
Thyregod, Peter; Carstensen, Niels Jacob; Madsen, Henrik
1999-01-01
A new method for modelling the dynamics of rain sampled by a tipping bucket rain gauge is proposed. The considered models belong to the class of integer valued autoregressive processes. The models take the autocorelation and discrete nature of the data into account. A first order, a second order...... and a threshold model are presented together with methods to estimate the parameters of each model. The models are demonstrated to provide a good description of dt from actual rain events requiring only two to four parameters....
Processing on weak electric signals by the autoregressive model
Ding, Jinli; Zhao, Jiayin; Wang, Lanzhou; Li, Qiao
2008-10-01
A model of the autoregressive model of weak electric signals in two plants was set up for the first time. The result of the AR model to forecast 10 values of the weak electric signals is well. It will construct a standard set of the AR model coefficient of the plant electric signal and the environmental factor, and can be used as the preferences for the intelligent autocontrol system based on the adaptive characteristic of plants to achieve the energy saving on agricultural productions.
Nakano, Masaru; Kumagai, Hiroyuki; Kumazawa, Mineo; Yamaoka, Koshun; Chouet, Bernard A.
1998-05-01
We present a method to quantify the source excitation function and characteristic frequencies of long-period volcanic events. The method is based on an inhomogeneous autoregressive (AR) model of a linear dynamic system, in which the excitation is assumed to be a time-localized function applied at the beginning of the event. The tail of an exponentially decaying harmonic waveform is used to determine the characteristic complex frequencies of the event by the Sompi method. The excitation function is then derived by operating an AR filter constructed from the characteristic frequencies to the entire seismogram of the event, including the inhomogeneous part of the signal. We apply this method to three long-period events at Kusatsu-Shirane Volcano, central Japan, whose waveforms display simple decaying monochromatic oscillations except for the beginning of the events. We recover time-localized excitation functions lasting roughly 1 s at the start of each event and find that the estimated functions are very similar to each other at all the stations of the seismic network for each event. The phases of the characteristic oscillations referred to the estimated excitation function fall within a narrow range for almost all the stations. These results strongly suggest that the excitation and mode of oscillation are both dominated by volumetric change components. Each excitation function starts with a pronounced dilatation consistent with a sudden deflation of the volumetric source which may be interpreted in terms of a choked-flow transport mechanism. The frequency and Q of the characteristic oscillation both display a temporal evolution from event to event. Assuming a crack filled with bubbly water as seismic source for these events, we apply the Van Wijngaarden-Papanicolaou model to estimate the acoustic properties of the bubbly liquid and find that the observed changes in the frequencies and Q are consistently explained by a temporal change in the radii of the bubbles
Temporal aggregation in first order cointegrated vector autoregressive models
DEFF Research Database (Denmark)
La Cour, Lisbeth Funding; Milhøj, Anders
We study aggregation - or sample frequencies - of time series, e.g. aggregation from weekly to monthly or quarterly time series. Aggregation usually gives shorter time series but spurious phenomena, in e.g. daily observations, can on the other hand be avoided. An important issue is the effect of ...... of aggregation on the adjustment coefficient in cointegrated systems. We study only first order vector autoregressive processes for n dimensional time series Xt, and we illustrate the theory by a two dimensional and a four dimensional model for prices of various grades of gasoline...
4K Video Traffic Prediction using Seasonal Autoregressive Modeling
Directory of Open Access Journals (Sweden)
D. R. Marković
2017-06-01
Full Text Available From the perspective of average viewer, high definition video streams such as HD (High Definition and UHD (Ultra HD are increasing their internet presence year over year. This is not surprising, having in mind expansion of HD streaming services, such as YouTube, Netflix etc. Therefore, high definition video streams are starting to challenge network resource allocation with their bandwidth requirements and statistical characteristics. Need for analysis and modeling of this demanding video traffic has essential importance for better quality of service and experience support. In this paper we use an easy-to-apply statistical model for prediction of 4K video traffic. Namely, seasonal autoregressive modeling is applied in prediction of 4K video traffic, encoded with HEVC (High Efficiency Video Coding. Analysis and modeling were performed within R programming environment using over 17.000 high definition video frames. It is shown that the proposed methodology provides good accuracy in high definition video traffic modeling.
Autoregressive Model Using Fuzzy C-Regression Model Clustering for Traffic Modeling
Tanaka, Fumiaki; Suzuki, Yukinori; Maeda, Junji
A robust traffic modeling is required to perform an effective congestion control for the broad band digital network. An autoregressive model using a fuzzy c-regression model (FCRM) clustering is proposed for a traffic modeling. This is a simpler modeling method than previous methods. The experiments show that the proposed method is more robust for traffic modeling than the previous method.
Optimal hedging with the cointegrated vector autoregressive model
DEFF Research Database (Denmark)
Gatarek, Lukasz; Johansen, Søren
We derive the optimal hedging ratios for a portfolio of assets driven by a Coin- tegrated Vector Autoregressive model (CVAR) with general cointegration rank. Our hedge is optimal in the sense of minimum variance portfolio. We consider a model that allows for the hedges to be cointegrated...... with the hedged asset and among themselves. We nd that the minimum variance hedge for assets driven by the CVAR, depends strongly on the portfolio holding period. The hedge is dened as a function of correlation and cointegration parameters. For short holding periods the correlation impact is predominant. For long...... horizons, the hedge ratio should overweight the cointegration parameters rather then short-run correlation information. In the innite horizon, the hedge ratios shall be equal to the cointegrating vector. The hedge ratios for any intermediate portfolio holding period should be based on the weighted average...
Ozone Concentration Prediction via Spatiotemporal Autoregressive Model With Exogenous Variables
Kamoun, W.; Senoussi, R.
2009-04-01
Forecast of environmental variables are nowadays of main concern for public health or agricultural management. In this context a large literature is devoted to spatio-temporal modelling of these variables using different statistical approaches. However, most of studies ignored the potential contribution of local (e.g. meteorological and/or geographical) covariables as well as the dynamical characteristics of observations. In this study, we present a spatiotemporal short term forecasting model for ozone concentration based on regularly observed covariables in predefined geographical sites. Our driving system simply combines a multidimensional second order autoregressive structured process with a linear regression model over influent exogenous factors and reads as follows: 2 q j Z (t) = A (Î&,cedil;D )Ã- [ αiZ(t- i)]+ B (Î&,cedil;D )Ã- [ βjX (t)]+ É(t) i=1 j=1 Z(t)=(Z1(t),â¦,Zn(t)) represents the vector of ozone concentration at time t of the n geographical sites, whereas Xj(t)=(X1j(t),â¦,Xnj(t)) denotes the jth exogenous variable observed over these sites. The nxn matrix functions A and B account for the spatial relationships between sites through the inter site distance matrix D and a vector parameter Î&.cedil; Multidimensional white noise É is assumed to be Gaussian and spatially correlated but temporally independent. A covariance structure of Z that takes account of noise spatial dependences is deduced under a stationary hypothesis and then included in the likelihood function. Statistical model and estimation procedure: Contrarily to the widely used choice of a {0,1}-valued neighbour matrix A, we put forward two more natural choices of exponential or power decay. Moreover, the model revealed enough stable to readily accommodate the crude observations without the usual tedious and somewhat arbitrarily variable transformations. Data set and preliminary analysis: In our case, ozone variable represents here the daily maximum ozone
DEFF Research Database (Denmark)
Chon, K H; Hoyer, D; Armoundas, A A
1999-01-01
In this study, we introduce a new approach for estimating linear and nonlinear stochastic autoregressive moving average (ARMA) model parameters, given a corrupt signal, using artificial recurrent neural networks. This new approach is a two-step approach in which the parameters of the deterministic...... error is obtained by subtracting the corrupt signal of the estimated ARMA model obtained via the deterministic estimation step from the system output response. We present computer simulation examples to show the efficacy of the proposed stochastic recurrent neural network approach in obtaining accurate...... model predictions. Furthermore, we compare the performance of the new approach to that of the deterministic recurrent neural network approach. Using this simple two-step procedure, we obtain more robust model predictions than with the deterministic recurrent neural network approach despite the presence...
Auto-correlograms and auto-regressive models of trace metal distributions in Cochin backwaters
Digital Repository Service at National Institute of Oceanography (India)
Jayalakshmy, K.V.; Sankaranarayanan, V.N.
,2 and 3 and for Zn at stations 1 and 4. The stability in time for the concentration profiles increases as Fe Mn Ni Cu Co. The fraction of variability in the variables obtained by the auto-regressive model of order 1 ranges from 20 to 50%. Auto-regressive...
Likelihood inference for a fractionally cointegrated vector autoregressive model
DEFF Research Database (Denmark)
Johansen, Søren; Ørregård Nielsen, Morten
2012-01-01
such that the process X_{t} is fractional of order d and cofractional of order d-b; that is, there exist vectors ß for which ß'X_{t} is fractional of order d-b, and no other fractionality order is possible. We define the statistical model by 0inference when the true values satisfy b0¿1/2 and d0-b0......We consider model based inference in a fractionally cointegrated (or cofractional) vector autoregressive model with a restricted constant term, ¿, based on the Gaussian likelihood conditional on initial values. The model nests the I(d) VAR model. We give conditions on the parameters...... process in the parameters when errors are i.i.d. with suitable moment conditions and initial values are bounded. When the limit is deterministic this implies uniform convergence in probability of the conditional likelihood function. If the true value b0>1/2, we prove that the limit distribution of (ß...
Recursive wind speed forecasting based on Hammerstein Auto-Regressive model
International Nuclear Information System (INIS)
Ait Maatallah, Othman; Achuthan, Ajit; Janoyan, Kerop; Marzocca, Pier
2015-01-01
Highlights: • Developed a new recursive WSF model for 1–24 h horizon based on Hammerstein model. • Nonlinear HAR model successfully captured chaotic dynamics of wind speed time series. • Recursive WSF intrinsic error accumulation corrected by applying rotation. • Model verified for real wind speed data from two sites with different characteristics. • HAR model outperformed both ARIMA and ANN models in terms of accuracy of prediction. - Abstract: A new Wind Speed Forecasting (WSF) model, suitable for a short term 1–24 h forecast horizon, is developed by adapting Hammerstein model to an Autoregressive approach. The model is applied to real data collected for a period of three years (2004–2006) from two different sites. The performance of HAR model is evaluated by comparing its prediction with the classical Autoregressive Integrated Moving Average (ARIMA) model and a multi-layer perceptron Artificial Neural Network (ANN). Results show that the HAR model outperforms both the ARIMA model and ANN model in terms of root mean square error (RMSE), mean absolute error (MAE), and Mean Absolute Percentage Error (MAPE). When compared to the conventional models, the new HAR model can better capture various wind speed characteristics, including asymmetric (non-gaussian) wind speed distribution, non-stationary time series profile, and the chaotic dynamics. The new model is beneficial for various applications in the renewable energy area, particularly for power scheduling
Directory of Open Access Journals (Sweden)
S. M. Barbosa
2006-01-01
Full Text Available This work addresses the autoregressive modelling of sea level time series from TOPEX/Poseidon satellite altimetry mission. Datasets from remote sensing applications are typically very large and correlated both in time and space. Multivariate analysis methods are useful tools to summarise and extract information from such large space-time datasets. Multivariate autoregressive analysis is a generalisation of Principal Oscillation Pattern (POP analysis, widely used in the geosciences for the extraction of dynamical modes by eigen-decomposition of a first order autoregressive model fitted to the multivariate dataset of observations. The extension of the POP methodology to autoregressions of higher order, although increasing the difficulties in estimation, allows one to model a larger class of complex systems. Here, sea level variability in the North Atlantic is modelled by a third order multivariate autoregressive model estimated by stepwise least squares. Eigen-decomposition of the fitted model yields physically-interpretable seasonal modes. The leading autoregressive mode is an annual oscillation and exhibits a very homogeneous spatial structure in terms of amplitude reflecting the large scale coherent behaviour of the annual pattern in the Northern hemisphere. The phase structure reflects the seesaw pattern between the western and eastern regions in the tropical North Atlantic associated with the trade winds regime. The second mode is close to a semi-annual oscillation. Multivariate autoregressive models provide a useful framework for the description of time-varying fields while enclosing a predictive potential.
Multilevel Autoregressive Mediation Models: Specification, Estimation, and Applications.
Zhang, Qian; Wang, Lijuan; Bergeman, C S
2017-11-27
In the current study, extending from the cross-lagged panel models (CLPMs) in Cole and Maxwell (2003), we proposed the multilevel autoregressive mediation models (MAMMs) by allowing the coefficients to differ across individuals. In addition, Level-2 covariates can be included to explain the interindividual differences of mediation effects. Given the complexity of the proposed models, Bayesian estimation was used. Both a CLPM and an unconditional MAMM were fitted to daily diary data. The 2 models yielded different statistical conclusions regarding the average mediation effect. A simulation study was conducted to examine the estimation accuracy of Bayesian estimation for MAMMs and consequences of model mis-specifications. Factors considered included the sample size (N), number of time points (T), fixed indirect and direct effect sizes, and Level-2 variances and covariances. Results indicated that the fixed effect estimates for the indirect effect components (a and b) and the fixed effects of Level-2 covariates were accurate when N ≥ 50 and T ≥ 5. For estimating Level-2 variances and covariances, they were accurate provided a sufficiently large N and T (e.g., N ≥ 500 and T ≥ 50). Estimates of the average mediation effect were generally accurate when N ≥ 100 and T ≥ 10, or N ≥ 50 and T ≥ 20. Furthermore, we found that when Level-2 variances were zero, MAMMs yielded valid inferences about the fixed effects, whereas when random effects existed, CLPMs had low coverage rates for fixed effects. DIC can be used for model selection. Limitations and future directions were discussed. (PsycINFO Database Record (c) 2017 APA, all rights reserved).
Adaptive Autoregressive Model for Reduction of Noise in SPECT
Directory of Open Access Journals (Sweden)
Reijo Takalo
2015-01-01
Full Text Available This paper presents improved autoregressive modelling (AR to reduce noise in SPECT images. An AR filter was applied to prefilter projection images and postfilter ordered subset expectation maximisation (OSEM reconstruction images (AR-OSEM-AR method. The performance of this method was compared with filtered back projection (FBP preceded by Butterworth filtering (BW-FBP method and the OSEM reconstruction method followed by Butterworth filtering (OSEM-BW method. A mathematical cylinder phantom was used for the study. It consisted of hot and cold objects. The tests were performed using three simulated SPECT datasets. Image quality was assessed by means of the percentage contrast resolution (CR% and the full width at half maximum (FWHM of the line spread functions of the cylinders. The BW-FBP method showed the highest CR% values and the AR-OSEM-AR method gave the lowest CR% values for cold stacks. In the analysis of hot stacks, the BW-FBP method had higher CR% values than the OSEM-BW method. The BW-FBP method exhibited the lowest FWHM values for cold stacks and the AR-OSEM-AR method for hot stacks. In conclusion, the AR-OSEM-AR method is a feasible way to remove noise from SPECT images. It has good spatial resolution for hot objects.
DEFF Research Database (Denmark)
Chon, K H; Hoyer, D; Armoundas, A A
1999-01-01
In this study, we introduce a new approach for estimating linear and nonlinear stochastic autoregressive moving average (ARMA) model parameters, given a corrupt signal, using artificial recurrent neural networks. This new approach is a two-step approach in which the parameters of the deterministic...... part of the stochastic ARMA model are first estimated via a three-layer artificial neural network (deterministic estimation step) and then reestimated using the prediction error as one of the inputs to the artificial neural networks in an iterative algorithm (stochastic estimation step). The prediction...... of significant amounts of either dynamic or measurement noise in the output signal. The comparison between the deterministic and stochastic recurrent neural network approaches is furthered by applying both approaches to experimentally obtained renal blood pressure and flow signals....
A revival of the autoregressive distributed lag model in estimating energy demand relationships
Energy Technology Data Exchange (ETDEWEB)
Bentzen, J.; Engsted, T.
1999-07-01
The findings in the recent energy economics literature that energy economic variables are non-stationary, have led to an implicit or explicit dismissal of the standard autoregressive distribution lag (ARDL) model in estimating energy demand relationships. However, Pesaran and Shin (1997) show that the ARDL model remains valid when the underlying variables are non-stationary, provided the variables are co-integrated. In this paper we use the ARDL approach to estimate a demand relationship for Danish residential energy consumption, and the ARDL estimates are compared to the estimates obtained using co-integration techniques and error-correction models (ECM's). It turns out that both quantitatively and qualitatively, the ARDL approach and the co-integration/ECM approach give very similar results. (au)
A revival of the autoregressive distributed lag model in estimating energy demand relationships
Energy Technology Data Exchange (ETDEWEB)
Bentzen, Jan; Engsted, Tom [Aarhus School of Business, Aarhus (Denmark)
2001-01-01
The findings in the recent energy economics literature that energy economic variables are non-stationary, have led to an implicit or explicit dismissal of the standard autoregressive distributed lag (ARDL) model in estimating energy demand relationships. Recent research, however, shows that the ARDL model remains valid when the underlying variables are non-stationary, provided the variables are cointegrated. In this paper, we use the ARDL approach to estimate a demand relationship for Danish residential energy consumption, and the ARDL estimates are compared to the estimates obtained using cointegration techniques and error-correction models (ECM's). It turns out that both quantitatively and qualitatively, the ARDL approach and the cointegration/ECM approach give very similar results. (Author)
A Vector AutoRegressive (VAR) Approach to the Credit Channel for ...
African Journals Online (AJOL)
This paper is an attempt to determine the presence and empirical significance of monetary policy and the bank lending view of the credit channel for Mauritius, which is particularly relevant at these times. A vector autoregressive (VAR) model of order three is used to examine the monetary transmission mechanism using ...
Self-organising mixture autoregressive model for non-stationary time series modelling.
Ni, He; Yin, Hujun
2008-12-01
Modelling non-stationary time series has been a difficult task for both parametric and nonparametric methods. One promising solution is to combine the flexibility of nonparametric models with the simplicity of parametric models. In this paper, the self-organising mixture autoregressive (SOMAR) network is adopted as a such mixture model. It breaks time series into underlying segments and at the same time fits local linear regressive models to the clusters of segments. In such a way, a global non-stationary time series is represented by a dynamic set of local linear regressive models. Neural gas is used for a more flexible structure of the mixture model. Furthermore, a new similarity measure has been introduced in the self-organising network to better quantify the similarity of time series segments. The network can be used naturally in modelling and forecasting non-stationary time series. Experiments on artificial, benchmark time series (e.g. Mackey-Glass) and real-world data (e.g. numbers of sunspots and Forex rates) are presented and the results show that the proposed SOMAR network is effective and superior to other similar approaches.
DEFF Research Database (Denmark)
Fokianos, Konstantinos; Rahbek, Anders Christian; Tjøstheim, Dag
This paper considers geometric ergodicity and likelihood based inference for linear and nonlinear Poisson autoregressions. In the linear case the conditional mean is linked linearly to its past values as well as the observed values of the Poisson process. This also applies to the conditional...... variance, implying an interpretation as an integer valued GARCH process. In a nonlinear conditional Poisson model, the conditional mean is a nonlinear function of its past values and a nonlinear function of past observations. As a particular example an exponential autoregressive Poisson model for time...... series is considered. Under geometric ergodicity the maximum likelihood estimators of the parameters are shown to be asymptotically Gaussian in the linear model. In addition we provide a consistent estimator of the asymptotic covariance, which is used in the simulations and the analysis of some...
DEFF Research Database (Denmark)
Fokianos, Konstantinos; Rahbek, Anders Christian; Tjøstheim, Dag
2009-01-01
In this article we consider geometric ergodicity and likelihood-based inference for linear and nonlinear Poisson autoregression. In the linear case, the conditional mean is linked linearly to its past values, as well as to the observed values of the Poisson process. This also applies to the condi......In this article we consider geometric ergodicity and likelihood-based inference for linear and nonlinear Poisson autoregression. In the linear case, the conditional mean is linked linearly to its past values, as well as to the observed values of the Poisson process. This also applies...... to the conditional variance, making possible interpretation as an integer-valued generalized autoregressive conditional heteroscedasticity process. In a nonlinear conditional Poisson model, the conditional mean is a nonlinear function of its past values and past observations. As a particular example, we consider...... ergodicity proceeds via Markov theory and irreducibility. Finding transparent conditions for proving ergodicity turns out to be a delicate problem in the original model formulation. This problem is circumvented by allowing a perturbation of the model. We show that as the perturbations can be chosen...
Testing the Conditional Mean Function of Autoregressive Conditional Duration Models
DEFF Research Database (Denmark)
Hautsch, Nikolaus
be subject to censoring structures. In an empirical study based on financial transaction data we present an application of the model to estimate conditional asset price change probabilities. Evaluating the forecasting properties of the model, it is shown that the proposed approach is a promising competitor...... function. The dynamic properties of the model as well as an assessment of the estimation quality is investigated in a Monte Carlo study. It is illustrated that the model is a useful approach to estimate conditional failure probabilities based on (persistent) serial dependent duration data which might...
Forecasting and simulating wind speed in Corsica by using an autoregressive model
International Nuclear Information System (INIS)
Poggi, P.; Muselli, M.; Notton, G.; Cristofari, C.; Louche, A.
2003-01-01
Alternative approaches for generating wind speed time series are discussed. The method utilized involves the use of an autoregressive process model. The model has been applied to three Mediterranean sites in Corsica and has been used to generate 3-hourly synthetic time series for these considered sites. The synthetic time series have been examined to determine their ability to preserve the statistical properties of the Corsican wind speed time series. In this context, using the main statistical characteristics of the wind speed (mean, variance, probability distribution, autocorrelation function), the data simulated are compared to experimental ones in order to check whether the wind speed behavior was correctly reproduced over the studied periods. The purpose is to create a data generator in order to construct a reference year for wind systems simulation in Corsica
Directory of Open Access Journals (Sweden)
Eleftherios Giovanis
2014-12-01
Full Text Available The current study examines the turn of the month effect on stock returns in 20 countries. This will allow us to explore whether the seasonal patterns usually found in global data; America, Australia, Europe and Asia. Ordinary Least Squares (OLS is problematic as it leads to unreliable estimations; because of the autocorrelation and Autoregressive Conditional Heteroskedasticity (ARCH effects existence. For this reason Generalized GARCH models are estimated. Two approaches are followed. The first is the symmetric Generalized ARCH (1,1 model. However, previous studies found that volatility tends to increase more when the stock market index decreases than when the stock market index increases by the same amount. In addition there is higher seasonality in volatility rather on average returns. For this reason the Periodic-GARCH (1,1 is estimated. The findings support the persistence of the specific calendar effect in 19 out of 20 countries examined.
Directory of Open Access Journals (Sweden)
Lorenzo G. Tanadini
2016-11-01
Full Text Available Abstract Background A number of potential therapeutic approaches for neurological disorders have failed to provide convincing evidence of efficacy, prompting pharmaceutical and health companies to discontinue their involvement in drug development. Limitations in the statistical analysis of complex endpoints have very likely had a negative impact on the translational process. Methods We propose a transitional ordinal model with an autoregressive component to overcome previous limitations in the analysis of Upper Extremity Motor Scores, a relevant endpoint in the field of Spinal Cord Injury. Statistical power and clinical interpretation of estimated treatment effects of the proposed model were compared to routinely employed approaches in a large simulation study of two-arm randomized clinical trials. A revisitation of a key historical trial provides further comparison between the different analysis approaches. Results The proposed model outperformed all other approaches in virtually all simulation settings, achieving on average 14 % higher statistical power than the respective second-best performing approach (range: -1 %, +34 %. Only the transitional model allows treatment effect estimates to be interpreted as conditional odds ratios, providing clear interpretation and visualization. Conclusion The proposed model takes into account the complex ordinal nature of the endpoint under investigation and explicitly accounts for relevant prognostic factors such as lesion level and baseline information. Superior statistical power, combined with clear clinical interpretation of estimated treatment effects and widespread availability in commercial software, are strong arguments for clinicians and trial scientists to adopt, and further extend, the proposed approach.
Bridging Economic Theory Models and the Cointegrated Vector Autoregressive Model
DEFF Research Database (Denmark)
Møller, Niels Framroze
2008-01-01
Examples of simple economic theory models are analyzed as restrictions on the Cointegrated VAR (CVAR). This establishes a correspondence between basic economic concepts and the econometric concepts of the CVAR: The economic relations correspond to cointegrating vectors and exogeneity...... in the economic model is related to econometric concepts of exogeneity. The economic equilibrium corresponds to the so-called long-run value (Johansen 2005), the long-run impact matrix, C; captures the comparative statics and the exogenous variables are the common trends. The adjustment parameters of the CVAR...
SEASONAL AUTOREGRESSIVE INTEGRATED MOVING AVERAGE MODEL FOR PRECIPITATION TIME SERIES
Yan Wang; Meng Gao; Xinghua Chang; Xiyong Hou
2012-01-01
Predicting the trend of precipitation is a difficult task in meteorology and environmental sciences. Statistical approaches from time series analysis provide an alternative way for precipitation prediction. The ARIMA model incorporating seasonal characteristics, which is referred to as seasonal ARIMA model was presented. The time series data is the monthly precipitation data in Yantai, China and the period is from 1961 to 2011. The model was denoted as SARIMA (1, 0, 1) (0, 1, 1)12 in this stu...
Bridging Economic Theory Models and the Cointegrated Vector Autoregressive Model
DEFF Research Database (Denmark)
Møller, Niels Framroze
2008-01-01
in the economic model implies the econometric concept of strong exogeneity for ß. The economic equilibrium corresponds to the so-called long-run value (Johansen 2005), the comparative statics are captured by the long-run impact matrix, C; and the exogenous variables are the common trends. Also, the adjustment...... parameters of the CVAR are shown to be interpretable in terms of expectations formation, market clearing, nominal rigidities, etc. The general-partial equilibrium distinction is also discussed....
Estimation and Forecasting in Vector Autoregressive Moving Average Models for Rich Datasets
DEFF Research Database (Denmark)
Dias, Gustavo Fruet; Kapetanios, George
We address the issue of modelling and forecasting macroeconomic variables using rich datasets, by adopting the class of Vector Autoregressive Moving Average (VARMA) models. We overcome the estimation issue that arises with this class of models by implementing an iterative ordinary least squares (...
Time to burn: Modeling wildland arson as an autoregressive crime function
Jeffrey P. Prestemon; David T. Butry
2005-01-01
Six Poisson autoregressive models of order p [PAR(p)] of daily wildland arson ignition counts are estimated for five locations in Florida (1994-2001). In addition, a fixed effects time-series Poisson model of annual arson counts is estimated for all Florida counties (1995-2001). PAR(p) model estimates reveal highly significant arson ignition autocorrelation, lasting up...
Schuurman, N. K.; Grasman, R. P P P; Hamaker, E. L.
2016-01-01
Multilevel autoregressive models are especially suited for modeling between-person differences in within-person processes. Fitting these models with Bayesian techniques requires the specification of prior distributions for all parameters. Often it is desirable to specify prior distributions that
Multivariate Self-Exciting Threshold Autoregressive Models with eXogenous Input
Peter Martey Addo
2014-01-01
This study defines a multivariate Self--Exciting Threshold Autoregressive with eXogenous input (MSETARX) models and present an estimation procedure for the parameters. The conditions for stationarity of the nonlinear MSETARX models is provided. In particular, the efficiency of an adaptive parameter estimation algorithm and LSE (least squares estimate) algorithm for this class of models is then provided via simulations.
Linear and non-linear autoregressive models for short-term wind speed forecasting
International Nuclear Information System (INIS)
Lydia, M.; Suresh Kumar, S.; Immanuel Selvakumar, A.; Edwin Prem Kumar, G.
2016-01-01
Highlights: • Models for wind speed prediction at 10-min intervals up to 1 h built on time-series wind speed data. • Four different multivariate models for wind speed built based on exogenous variables. • Non-linear models built using three data mining algorithms outperform the linear models. • Autoregressive models based on wind direction perform better than other models. - Abstract: Wind speed forecasting aids in estimating the energy produced from wind farms. The soaring energy demands of the world and minimal availability of conventional energy sources have significantly increased the role of non-conventional sources of energy like solar, wind, etc. Development of models for wind speed forecasting with higher reliability and greater accuracy is the need of the hour. In this paper, models for predicting wind speed at 10-min intervals up to 1 h have been built based on linear and non-linear autoregressive moving average models with and without external variables. The autoregressive moving average models based on wind direction and annual trends have been built using data obtained from Sotavento Galicia Plc. and autoregressive moving average models based on wind direction, wind shear and temperature have been built on data obtained from Centre for Wind Energy Technology, Chennai, India. While the parameters of the linear models are obtained using the Gauss–Newton algorithm, the non-linear autoregressive models are developed using three different data mining algorithms. The accuracy of the models has been measured using three performance metrics namely, the Mean Absolute Error, Root Mean Squared Error and Mean Absolute Percentage Error.
de Vries, S O; Fidler, Vaclav; Kuipers, Wietze D; Hunink, Maria G M
1998-01-01
The purpose of this study was to develop a model that predicts the outcome of supervised exercise for intermittent claudication. The authors present an example of the use of autoregressive logistic regression for modeling observed longitudinal data. Data were collected from 329 participants in a
A representation theory for a class of vector autoregressive models for fractional processes
DEFF Research Database (Denmark)
Johansen, Søren
2008-01-01
Based on an idea of Granger (1986), we analyze a new vector autoregressive model defined from the fractional lag operator 1-(1-L)^{d}. We first derive conditions in terms of the coefficients for the model to generate processes which are fractional of order zero. We then show that if there is a un...
DEFF Research Database (Denmark)
Fokianos, Konstantinos; Rahbæk, Anders; Tjøstheim, Dag
This paper considers geometric ergodicity and likelihood based inference for linear and nonlinear Poisson autoregressions. In the linear case the conditional mean is linked linearly to its past values as well as the observed values of the Poisson process. This also applies to the conditional...... proceeds via Markov theory and irreducibility. Finding transparent conditions for proving ergodicity turns out to be a delicate problem in the original model formulation. This problem is circumvented by allowing a perturbation of the model. We show that as the perturbations can be chosen to be arbitrarily...
Insurance-growth nexus in Ghana: An autoregressive distributed lag bounds cointegration approach
Directory of Open Access Journals (Sweden)
Abdul Latif Alhassan
2014-12-01
Full Text Available This paper examines the long-run causal relationship between insurance penetration and economic growth in Ghana from 1990 to 2010. Using the autoregressive distributed lag (ARDL bounds approach to cointegration by Pesaran et al. (1996, 2001, the study finds a long-run positive relationship between insurance penetration and economic growth which implies that funds mobilized from insurance business have a long run impact on economic growth. A unidirectional causality was found to run from aggregate insurance penetration, life and non-life insurance penetration to economic growth to support the ‘supply-leading’ hypothesis. The findings have implications for insurance market development in Ghana.
Ambrosini, Roberto; Borgoni, Riccardo; Rubolini, Diego; Sicurella, Beatrice; Fiedler, Wolfgang; Bairlein, Franz; Baillie, Stephen R; Robinson, Robert A; Clark, Jacquie A; Spina, Fernando; Saino, Nicola
2014-01-01
Migration is a fundamental stage in the life history of several taxa, including birds, and is under strong selective pressure. At present, the only data that may allow for both an assessment of patterns of bird migration and for retrospective analyses of changes in migration timing are the databases of ring recoveries. We used ring recoveries of the Barn Swallow Hirundo rustica collected from 1908-2008 in Europe to model the calendar date at which a given proportion of birds is expected to have reached a given geographical area ('progression of migration') and to investigate the change in timing of migration over the same areas between three time periods (1908-1969, 1970-1990, 1991-2008). The analyses were conducted using binomial conditional autoregressive (CAR) mixed models. We first concentrated on data from the British Isles and then expanded the models to western Europe and north Africa. We produced maps of the progression of migration that disclosed local patterns of migration consistent with those obtained from the analyses of the movements of ringed individuals. Timing of migration estimated from our model is consistent with data on migration phenology of the Barn Swallow available in the literature, but in some cases it is later than that estimated by data collected at ringing stations, which, however, may not be representative of migration phenology over large geographical areas. The comparison of median migration date estimated over the same geographical area among time periods showed no significant advancement of spring migration over the whole of Europe, but a significant advancement of autumn migration in southern Europe. Our modelling approach can be generalized to any records of ringing date and locality of individuals including those which have not been recovered subsequently, as well as to geo-referenced databases of sightings of migratory individuals.
DEFF Research Database (Denmark)
Chon, K H; Cohen, R J; Holstein-Rathlou, N H
1997-01-01
A linear and nonlinear autoregressive moving average (ARMA) identification algorithm is developed for modeling time series data. The algorithm uses Laguerre expansion of kernals (LEK) to estimate Volterra-Wiener kernals. However, instead of estimating linear and nonlinear system dynamics via movi...
Directory of Open Access Journals (Sweden)
Helen Higgs
2014-03-01
Full Text Available This paper models the price and income elasticity of retail finance in Australia using aggregate quarterly data and an autoregressive distributed lag (ARDL approach. We particularly focus on the impact of the global financial crisis (GFC from 2007 onwards on retail finance demand and analyse four submarkets (period analysed in brackets: owneroccupied housing loans (Sep 1985–June 2010, term loans (for motor vehicles, household goods and debt consolidation, etc. (Dec 1988–Jun 2010, credit card loans (Mar 1990–Jun 2010, and margin loans (Sep 2000–Jun 2010. Other than the indicator lending rates and annual full-time earnings respectively used as proxies for the price and income effects, we specify a large number of other variables as demand factors, particularly reflecting the value of the asset for which retail finance demand is derived. These variously include the yield on indexed bonds as a proxy for inflation expectations, median housing prices, consumer sentiment indices as measures of consumer confidence, motor vehicle and retail trade sales, housing debt-to-housing assets as a measure of leverage, the proportion of protected margin lending, the available credit limit on credit cards, and the All Ordinaries Index. In the long run, we find significant price elasticities only for term loans and margin loans, and significant income elasticities of demand for housing loans, term loans and margin loans. We also find that the GFC only significantly affected the longrun demand for term loans and margin loans. In the short run, we find that the GFC has had a significant effect on the price elasticity of demand for term loans and margin loans. Expected inflation is also a key factor affecting retail finance demand. Overall, most of the submarkets in the analysis indicate that retail finance demand is certainly price inelastic but more income elastic than conventionally thought.
Modelling malaria incidence by an autoregressive distributed lag model with spatial component.
Laguna, Francisco; Grillet, María Eugenia; León, José R; Ludeña, Carenne
2017-08-01
The influence of climatic variables on the dynamics of human malaria has been widely highlighted. Also, it is known that this mosquito-borne infection varies in space and time. However, when the data is spatially incomplete most popular spatio-temporal methods of analysis cannot be applied directly. In this paper, we develop a two step methodology to model the spatio-temporal dependence of malaria incidence on local rainfall, temperature, and humidity as well as the regional sea surface temperatures (SST) in the northern coast of Venezuela. First, we fit an autoregressive distributed lag model (ARDL) to the weekly data, and then, we adjust a linear separable spacial vectorial autoregressive model (VAR) to the residuals of the ARDL. Finally, the model parameters are tuned using a Markov Chain Monte Carlo (MCMC) procedure derived from the Metropolis-Hastings algorithm. Our results show that the best model to account for the variations of malaria incidence from 2001 to 2008 in 10 endemic Municipalities in North-Eastern Venezuela is a logit model that included the accumulated local precipitation in combination with the local maximum temperature of the preceding month as positive regressors. Additionally, we show that although malaria dynamics is highly heterogeneous in space, a detailed analysis of the estimated spatial parameters in our model yield important insights regarding the joint behavior of the disease incidence across the different counties in our study. Copyright © 2017 Elsevier Ltd. All rights reserved.
Chin, Wen Cheong; Lee, Min Cherng; Yap, Grace Lee Ching
2016-01-01
High frequency financial data modelling has become one of the important research areas in the field of financial econometrics. However, the possible structural break in volatile financial time series often trigger inconsistency issue in volatility estimation. In this study, we propose a structural break heavy-tailed heterogeneous autoregressive (HAR) volatility econometric model with the enhancement of jump-robust estimators. The breakpoints in the volatility are captured by dummy variables after the detection by Bai-Perron sequential multi breakpoints procedure. In order to further deal with possible abrupt jump in the volatility, the jump-robust volatility estimators are composed by using the nearest neighbor truncation approach, namely the minimum and median realized volatility. Under the structural break improvements in both the models and volatility estimators, the empirical findings show that the modified HAR model provides the best performing in-sample and out-of-sample forecast evaluations as compared with the standard HAR models. Accurate volatility forecasts have direct influential to the application of risk management and investment portfolio analysis.
Lee, Duncan; Rushworth, Alastair; Sahu, Sujit K
2014-06-01
Estimation of the long-term health effects of air pollution is a challenging task, especially when modeling spatial small-area disease incidence data in an ecological study design. The challenge comes from the unobserved underlying spatial autocorrelation structure in these data, which is accounted for using random effects modeled by a globally smooth conditional autoregressive model. These smooth random effects confound the effects of air pollution, which are also globally smooth. To avoid this collinearity a Bayesian localized conditional autoregressive model is developed for the random effects. This localized model is flexible spatially, in the sense that it is not only able to model areas of spatial smoothness, but also it is able to capture step changes in the random effects surface. This methodological development allows us to improve the estimation performance of the covariate effects, compared to using traditional conditional auto-regressive models. These results are established using a simulation study, and are then illustrated with our motivating study on air pollution and respiratory ill health in Greater Glasgow, Scotland in 2011. The model shows substantial health effects of particulate matter air pollution and nitrogen dioxide, whose effects have been consistently attenuated by the currently available globally smooth models. © 2014, The Authors Biometrics published by Wiley Periodicals, Inc. on behalf of International Biometric Society.
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Fei Jin
2013-05-01
Full Text Available This paper studies the generalized spatial two stage least squares (GS2SLS estimation of spatial autoregressive models with autoregressive disturbances when there are endogenous regressors with many valid instruments. Using many instruments may improve the efficiency of estimators asymptotically, but the bias might be large in finite samples, making the inference inaccurate. We consider the case that the number of instruments K increases with, but at a rate slower than, the sample size, and derive the approximate mean square errors (MSE that account for the trade-offs between the bias and variance, for both the GS2SLS estimator and a bias-corrected GS2SLS estimator. A criterion function for the optimal K selection can be based on the approximate MSEs. Monte Carlo experiments are provided to show the performance of our procedure of choosing K.
DEFF Research Database (Denmark)
Kock, Anders Bredahl
2016-01-01
as if only these had been included in the model from the outset. In particular, this implies that it is able to discriminate between stationary and nonstationary autoregressions and it thereby constitutes an addition to the set of unit root tests. Next, and important in practice, we show that choosing...... to perform conservative model selection it has power even against shrinking alternatives of this form and compare it to the plain Lasso....
Properties of autoregressive model in reactor noise analysis, 1
International Nuclear Information System (INIS)
Yamada, Sumasu; Kishida, Kuniharu; Bekki, Keisuke.
1987-01-01
Under appropriate conditions, stochastic processes are described by the ARMA model, however, the AR model is popularly used in reactor noise analysis. Hence, the properties of AR model as an approximate representation of the ARMA model should be made clear. Here, convergence of AR-parameters and PSD of AR model were studied through numerical analysis on specific examples such as the neutron noise in subcritical reactors, and it was found that : (1) The convergence of AR-parameters and AR model PSD is governed by the ''zero nearest to the unit circle in the complex plane'' (μ -1 ,|μ| M . (3) The AR model of the neutron noise of subcritical reactors needs a large model order because of an ARMA-zero very close to unity corresponding to the decay constant of the 6-th group of delayed neutron precursors. (4) In applying AR model for system identification, much attention has to be paid to a priori unknown error as an approximate representation of the ARMA model in addition to the statistical errors. (author)
DEFECT MONITORING IN IRON CASTING USING RESIDUES OF AUTOREGRESSIVE MODELS
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Vanusa Andrea Casarin
2013-06-01
Full Text Available The purpose of this study is to monitor the index of general waste irons forecasting nodular and gray using the residues originated from the methodology Box & Jenkins by means of X-bar and R control charts. Search is to find a general class of model ARIMA (p, d, q but as data have autocorrelation is found to the number of residues which allowed the application of charts. The found model was the model SARIMA (0,1,1(0,1,1 . In step of checking the stability of the model was found that some comments are out of control due to temperature and chemical composition.
Using Threshold Autoregressive Models to Study Dyadic Interactions
Hamaker, Ellen L.; Zhang, Zhiyong; van der Maas, Han L. J.
2009-01-01
Considering a dyad as a dynamic system whose current state depends on its past state has allowed researchers to investigate whether and how partners influence each other. Some researchers have also focused on how differences between dyads in their interaction patterns are related to other differences between them. A promising approach in this area…
An application of the Autoregressive Conditional Poisson (ACP) model
CSIR Research Space (South Africa)
Holloway, Jennifer P
2010-11-01
Full Text Available When modelling count data that comes in the form of a time series, the static Poisson regression and standard time series models are often not appropriate. A current study therefore involves the evaluation of several observation-driven and parameter...
Temporal Aggregation in First Order Cointegrated Vector Autoregressive models
DEFF Research Database (Denmark)
Milhøj, Anders; la Cour, Lisbeth Funding
2011-01-01
with the frequency of the data. We also introduce a graphical representation that will prove useful as an additional informational tool for deciding the appropriate cointegration rank of a model. In two examples based on models of time series of different grades of gasoline, we demonstrate the usefulness of our...
Prediction of global ionospheric VTEC maps using an adaptive autoregressive model
Wang, Cheng; Xin, Shaoming; Liu, Xiaolu; Shi, Chuang; Fan, Lei
2018-02-01
In this contribution, an adaptive autoregressive model is proposed and developed to predict global ionospheric vertical total electron content maps (VTEC). Specifically, the spherical harmonic (SH) coefficients are predicted based on the autoregressive model, and the order of the autoregressive model is determined adaptively using the F-test method. To test our method, final CODE and IGS global ionospheric map (GIM) products, as well as altimeter TEC data during low and mid-to-high solar activity period collected by JASON, are used to evaluate the precision of our forecasting products. Results indicate that the predicted products derived from the model proposed in this paper have good consistency with the final GIMs in low solar activity, where the annual mean of the root-mean-square value is approximately 1.5 TECU. However, the performance of predicted vertical TEC in periods of mid-to-high solar activity has less accuracy than that during low solar activity periods, especially in the equatorial ionization anomaly region and the Southern Hemisphere. Additionally, in comparison with forecasting products, the final IGS GIMs have the best consistency with altimeter TEC data. Future work is needed to investigate the performance of forecasting products using the proposed method in an operational environment, rather than using the SH coefficients from the final CODE products, to understand the real-time applicability of the method.
DEFF Research Database (Denmark)
Pinson, Pierre; Madsen, Henrik
2012-01-01
optimized is based on penalized maximum likelihood, with exponential forgetting of past observations. MSAR models are then employed for one-step-ahead point forecasting of 10 min resolution time series of wind power at two large offshore wind farms. They are favourably compared against persistence......Wind power production data at temporal resolutions of a few minutes exhibit successive periods with fluctuations of various dynamic nature and magnitude, which cannot be explained (so far) by the evolution of some explanatory variable. Our proposal is to capture this regime-switching behaviour...... and autoregressive models. It is finally shown that the main interest of MSAR models lies in their ability to generate interval/density forecasts of significantly higher skill....
Zhou, Tony; Dickson, Jennifer L; Geoffrey Chase, J
2018-01-01
Continuous glucose monitoring (CGM) devices have been effective in managing diabetes and offer potential benefits for use in the intensive care unit (ICU). Use of CGM devices in the ICU has been limited, primarily due to the higher point accuracy errors over currently used traditional intermittent blood glucose (BG) measures. General models of CGM errors, including drift and random errors, are lacking, but would enable better design of protocols to utilize these devices. This article presents an autoregressive (AR) based modeling method that separately characterizes the drift and random noise of the GlySure CGM sensor (GlySure Limited, Oxfordshire, UK). Clinical sensor data (n = 33) and reference measurements were used to generate 2 AR models to describe sensor drift and noise. These models were used to generate 100 Monte Carlo simulations based on reference blood glucose measurements. These were then compared to the original CGM clinical data using mean absolute relative difference (MARD) and a Trend Compass. The point accuracy MARD was very similar between simulated and clinical data (9.6% vs 9.9%). A Trend Compass was used to assess trend accuracy, and found simulated and clinical sensor profiles were similar (simulated trend index 11.4° vs clinical trend index 10.9°). The model and method accurately represents cohort sensor behavior over patients, providing a general modeling approach to any such sensor by separately characterizing each type of error that can arise in the data. Overall, it enables better protocol design based on accurate expected CGM sensor behavior, as well as enabling the analysis of what level of each type of sensor error would be necessary to obtain desired glycemic control safety and performance with a given protocol.
Autcha Araveeporn
2013-01-01
This paper compares a Least-Squared Random Coefficient Autoregressive (RCA) model with a Least-Squared RCA model based on Autocorrelated Errors (RCA-AR). We looked at only the first order models, denoted RCA(1) and RCA(1)-AR(1). The efficiency of the Least-Squared method was checked by applying the models to Brownian motion and Wiener process, and the efficiency followed closely the asymptotic properties of a normal distribution. In a simulation study, we compared the performance of RCA(1) an...
Directory of Open Access Journals (Sweden)
MEHDI AMIAN
2013-10-01
Full Text Available Functional near infrared spectroscopy (fNIRS is a technique that is used for noninvasive measurement of the oxyhemoglobin (HbO2 and deoxyhemoglobin (HHb concentrations in the brain tissue. Since the ratio of the concentration of these two agents is correlated with the neuronal activity, fNIRS can be used for the monitoring and quantifying the cortical activity. The portability of fNIRS makes it a good candidate for studies involving subject's movement. The fNIRS measurements, however, are sensitive to artifacts generated by subject's head motion. This makes fNIRS signals less effective in such applications. In this paper, the autoregressive moving average (ARMA modeling of the fNIRS signal is proposed for state-space representation of the signal which is then fed to the Kalman filter for estimating the motionless signal from motion corrupted signal. Results are compared to the autoregressive model (AR based approach, which has been done previously, and show that the ARMA models outperform AR models. We attribute it to the richer structure, containing more terms indeed, of ARMA than AR. We show that the signal to noise ratio (SNR is about 2 dB higher for ARMA based method.
A Two-Factor Autoregressive Moving Average Model Based on Fuzzy Fluctuation Logical Relationships
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Shuang Guan
2017-10-01
Full Text Available Many of the existing autoregressive moving average (ARMA forecast models are based on one main factor. In this paper, we proposed a new two-factor first-order ARMA forecast model based on fuzzy fluctuation logical relationships of both a main factor and a secondary factor of a historical training time series. Firstly, we generated a fluctuation time series (FTS for two factors by calculating the difference of each data point with its previous day, then finding the absolute means of the two FTSs. We then constructed a fuzzy fluctuation time series (FFTS according to the defined linguistic sets. The next step was establishing fuzzy fluctuation logical relation groups (FFLRGs for a two-factor first-order autoregressive (AR(1 model and forecasting the training data with the AR(1 model. Then we built FFLRGs for a two-factor first-order autoregressive moving average (ARMA(1,m model. Lastly, we forecasted test data with the ARMA(1,m model. To illustrate the performance of our model, we used real Taiwan Stock Exchange Capitalization Weighted Stock Index (TAIEX and Dow Jones datasets as a secondary factor to forecast TAIEX. The experiment results indicate that the proposed two-factor fluctuation ARMA method outperformed the one-factor method based on real historic data. The secondary factor may have some effects on the main factor and thereby impact the forecasting results. Using fuzzified fluctuations rather than fuzzified real data could avoid the influence of extreme values in historic data, which performs negatively while forecasting. To verify the accuracy and effectiveness of the model, we also employed our method to forecast the Shanghai Stock Exchange Composite Index (SHSECI from 2001 to 2015 and the international gold price from 2000 to 2010.
Noncausal Bayesian Vector Autoregression
DEFF Research Database (Denmark)
Lanne, Markku; Luoto, Jani
We propose a Bayesian inferential procedure for the noncausal vector autoregressive (VAR) model that is capable of capturing nonlinearities and incorporating effects of missing variables. In particular, we devise a fast and reliable posterior simulator that yields the predictive distribution...
Improved Subset Autoregression: With R Package
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A. I. McLeod
2008-07-01
Full Text Available The FitAR R (R Development Core Team 2008 package that is available on the Comprehensive R Archive Network is described. This package provides a comprehensive approach to fitting autoregressive and subset autoregressive time series. For long time series with complicated autocorrelation behavior, such as the monthly sunspot numbers, subset autoregression may prove more feasible and/or parsimonious than using AR or ARMA models. The two principal functions in this package are SelectModel and FitAR for automatic model selection and model fitting respectively. In addition to the regular autoregressive model and the usual subset autoregressive models (Tong 1977, these functions implement a new family of models. This new family of subset autoregressive models is obtained by using the partial autocorrelations as parameters and then selecting a subset of these parameters. Further properties and results for these models are discussed in McLeod and Zhang (2006. The advantages of this approach are that not only is an efficient algorithm for exact maximum likelihood implemented but that efficient methods are derived for selecting high-order subset models that may occur in massive datasets containing long time series. A new improved extended {BIC} criterion, {UBIC}, developed by Chen and Chen (2008 is implemented for subset model selection. A complete suite of model building functions for each of the three types of autoregressive models described above are included in the package. The package includes functions for time series plots, diagnostic testing and plotting, bootstrapping, simulation, forecasting, Box-Cox analysis, spectral density estimation and other useful time series procedures. As well as methods for standard generic functions including print, plot, predict and others, some new generic functions and methods are supplied that make it easier to work with the output from FitAR for bootstrapping, simulation, spectral density estimation and Box
Modeling Nonstationary Emotion Dynamics in Dyads using a Time-Varying Vector-Autoregressive Model.
Bringmann, Laura F; Ferrer, Emilio; Hamaker, Ellen L; Borsboom, Denny; Tuerlinckx, Francis
2018-03-05
Emotion dynamics are likely to arise in an interpersonal context. Standard methods to study emotions in interpersonal interaction are limited because stationarity is assumed. This means that the dynamics, for example, time-lagged relations, are invariant across time periods. However, this is generally an unrealistic assumption. Whether caused by an external (e.g., divorce) or an internal (e.g., rumination) event, emotion dynamics are prone to change. The semi-parametric time-varying vector-autoregressive (TV-VAR) model is based on well-studied generalized additive models, implemented in the software R. The TV-VAR can explicitly model changes in temporal dependency without pre-existing knowledge about the nature of change. A simulation study is presented, showing that the TV-VAR model is superior to the standard time-invariant VAR model when the dynamics change over time. The TV-VAR model is applied to empirical data on daily feelings of positive affect (PA) from a single couple. Our analyses indicate reliable changes in the male's emotion dynamics over time, but not in the female's-which were not predicted by her own affect or that of her partner. This application illustrates the usefulness of using a TV-VAR model to detect changes in the dynamics in a system.
Autoregressive Model with Partial Forgetting within Rao-Blackwellized Particle Filter
Czech Academy of Sciences Publication Activity Database
Dedecius, Kamil; Hofman, Radek
2012-01-01
Roč. 41, č. 5 (2012), s. 582-589 ISSN 0361-0918 R&D Projects: GA MV VG20102013018; GA ČR GA102/08/0567 Grant - others:ČVUT(CZ) SGS 10/099/OHK3/1T/16 Institutional research plan: CEZ:AV0Z10750506 Keywords : Bayesian methods * Particle filters * Recursive estimation Subject RIV: BB - Applied Statistics, Operational Research Impact factor: 0.295, year: 2012 http://library.utia.cas.cz/separaty/2012/AS/dedecius-autoregressive model with partial forgetting within rao-blackwellized particle filter.pdf
Application of Motion Correction using 3D Autoregressive Model in Kinect-based Telemedicine
Directory of Open Access Journals (Sweden)
Kim Baek Seob
2017-01-01
Full Text Available In telemedicine, where the convergence of different types of medical treatment occurs, it is very important to establish credibility regarding the mutual communication between patients and medical workers by acquiring and sharing more accurate data. For rehabilitation treatment in particular, where motion data are required, auxiliary equipment such as a Kinect sensor is being more widely used. This study proposes a methodology for improving the motion recognition rate by compensating the noise from a Kinect sensor using a 3D autoregressive model. Moreover, this study investigates the methods applied for vitalizing the area of telemedicine under this particular trend.
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Rahul Tripathi
2014-01-01
Full Text Available Forecasting of rice area, production, and productivity of Odisha was made from the historical data of 1950-51 to 2008-09 by using univariate autoregressive integrated moving average (ARIMA models and was compared with the forecasted all Indian data. The autoregressive (p and moving average (q parameters were identified based on the significant spikes in the plots of partial autocorrelation function (PACF and autocorrelation function (ACF of the different time series. ARIMA (2, 1, 0 model was found suitable for all Indian rice productivity and production, whereas ARIMA (1, 1, 1 was best fitted for forecasting of rice productivity and production in Odisha. Prediction was made for the immediate next three years, that is, 2007-08, 2008-09, and 2009-10, using the best fitted ARIMA models based on minimum value of the selection criterion, that is, Akaike information criteria (AIC and Schwarz-Bayesian information criteria (SBC. The performances of models were validated by comparing with percentage deviation from the actual values and mean absolute percent error (MAPE, which was found to be 0.61 and 2.99% for the area under rice in Odisha and India, respectively. Similarly for prediction of rice production and productivity in Odisha and India, the MAPE was found to be less than 6%.
DEFF Research Database (Denmark)
Zhao, Yongning; Ye, Lin; Pinson, Pierre
2018-01-01
The ever-increasing number of wind farms has brought both challenges and opportunities in the development of wind power forecasting techniques to take advantage of interdependenciesbetweentensorhundredsofspatiallydistributedwind farms, e.g., over a region. In this paper, a Sparsity......-Controlled Vector Autoregressive (SC-VAR) model is introduced to obtain sparse model structures in a spatio-temporal wind power forecasting framework by reformulating the original VAR model into a constrained Mixed Integer Non-Linear Programming (MINLP) problem. It allows controlling the sparsity of the coefﬁcient...... and forecasting, the original SC-VAR is modiﬁed and a Correlation-Constrained SC-VAR (CCSC-VAR) is proposed based on spatial correlation information about wind farms. Our approach is evaluated based on a case study of very-short-term forecasting for 25 wind farms in Denmark. Comparison is performed with a set...
Bildirici, Melike; Ersin, Özgür Ömer
2018-01-01
The study aims to combine the autoregressive distributed lag (ARDL) cointegration framework with smooth transition autoregressive (STAR)-type nonlinear econometric models for causal inference. Further, the proposed STAR distributed lag (STARDL) models offer new insights in terms of modeling nonlinearity in the long- and short-run relations between analyzed variables. The STARDL method allows modeling and testing nonlinearity in the short-run and long-run parameters or both in the short- and long-run relations. To this aim, the relation between CO 2 emissions and economic growth rates in the USA is investigated for the 1800-2014 period, which is one of the largest data sets available. The proposed hybrid models are the logistic, exponential, and second-order logistic smooth transition autoregressive distributed lag (LSTARDL, ESTARDL, and LSTAR2DL) models combine the STAR framework with nonlinear ARDL-type cointegration to augment the linear ARDL approach with smooth transitional nonlinearity. The proposed models provide a new approach to the relevant econometrics and environmental economics literature. Our results indicated the presence of asymmetric long-run and short-run relations between the analyzed variables that are from the GDP towards CO 2 emissions. By the use of newly proposed STARDL models, the results are in favor of important differences in terms of the response of CO 2 emissions in regimes 1 and 2 for the estimated LSTAR2DL and LSTARDL models.
Shi, Jinfei; Zhu, Songqing; Chen, Ruwen
2017-12-01
An order selection method based on multiple stepwise regressions is proposed for General Expression of Nonlinear Autoregressive model which converts the model order problem into the variable selection of multiple linear regression equation. The partial autocorrelation function is adopted to define the linear term in GNAR model. The result is set as the initial model, and then the nonlinear terms are introduced gradually. Statistics are chosen to study the improvements of both the new introduced and originally existed variables for the model characteristics, which are adopted to determine the model variables to retain or eliminate. So the optimal model is obtained through data fitting effect measurement or significance test. The simulation and classic time-series data experiment results show that the method proposed is simple, reliable and can be applied to practical engineering.
Dhussa, Anil K; Sambi, Surinder S; Kumar, Shashi; Kumar, Sandeep; Kumar, Surendra
2014-10-01
In waste-to-energy plants, there is every likelihood of variations in the quantity and characteristics of the feed. Although intermediate storage tanks are used, but many times these are of inadequate capacity to dampen the variations. In such situations an anaerobic digester treating waste slurry operates under dynamic conditions. In this work a special type of dynamic Artificial Neural Network model, called Nonlinear Autoregressive Exogenous model, is used to model the dynamics of anaerobic digesters by using about one year data collected on the operating digesters. The developed model consists of two hidden layers each having 10 neurons, and uses 18days delay. There are five neurons in input layer and one neuron in output layer for a day. Model predictions of biogas production rate are close to plant performance within ±8% deviation. Copyright © 2014 Elsevier Ltd. All rights reserved.
Krishnan, M.; Bhowmik, B.; Hazra, B.; Pakrashi, V.
2018-02-01
In this paper, a novel baseline free approach for continuous online damage detection of multi degree of freedom vibrating structures using Recursive Principal Component Analysis (RPCA) in conjunction with Time Varying Auto-Regressive Modeling (TVAR) is proposed. In this method, the acceleration data is used to obtain recursive proper orthogonal components online using rank-one perturbation method, followed by TVAR modeling of the first transformed response, to detect the change in the dynamic behavior of the vibrating system from its pristine state to contiguous linear/non-linear-states that indicate damage. Most of the works available in the literature deal with algorithms that require windowing of the gathered data owing to their data-driven nature which renders them ineffective for online implementation. Algorithms focussed on mathematically consistent recursive techniques in a rigorous theoretical framework of structural damage detection is missing, which motivates the development of the present framework that is amenable for online implementation which could be utilized along with suite experimental and numerical investigations. The RPCA algorithm iterates the eigenvector and eigenvalue estimates for sample covariance matrices and new data point at each successive time instants, using the rank-one perturbation method. TVAR modeling on the principal component explaining maximum variance is utilized and the damage is identified by tracking the TVAR coefficients. This eliminates the need for offline post processing and facilitates online damage detection especially when applied to streaming data without requiring any baseline data. Numerical simulations performed on a 5-dof nonlinear system under white noise excitation and El Centro (also known as 1940 Imperial Valley earthquake) excitation, for different damage scenarios, demonstrate the robustness of the proposed algorithm. The method is further validated on results obtained from case studies involving
[Autoregressive integrated moving average model in food poisoning prediction in Hunan Province].
Chen, Ling; Xu, Huilan
2012-02-01
To determine the application of autoregressive integrated moving average (ARIMA) model in food poisoning prediction in Hunan Province, and to provide scientific basis for the prevention and control of food poisoning. We collected the number of food poisoning from January 2003 to December 2009 in Hunan Province for ARIMA model fitting, and used food poisoning data of 2010 to verify the effect of model prediction. We predicted the number of food poisoning in 2011. ARIMA (0,1,1) (0,1,1)12 better fit the trends of the poisoning number in previous time periods and series, with prediction fitting error of 9.59%. The number of food poisoning in Hunan Province in 2011 was predicted to be 834. ARIMA model can better fit the number of food poisoning in the short term trends and series. If used for long-term forecasts.
International Nuclear Information System (INIS)
Benmouiza, Khalil; Cheknane, Ali
2013-01-01
Highlights: • An unsupervised clustering algorithm with a neural network model was explored. • The forecasting results of solar radiation time series and the comparison of their performance was simulated. • A new method was proposed combining k-means algorithm and NAR network to provide better prediction results. - Abstract: In this paper, we review our work for forecasting hourly global horizontal solar radiation based on the combination of unsupervised k-means clustering algorithm and artificial neural networks (ANN). k-Means algorithm focused on extracting useful information from the data with the aim of modeling the time series behavior and find patterns of the input space by clustering the data. On the other hand, nonlinear autoregressive (NAR) neural networks are powerful computational models for modeling and forecasting nonlinear time series. Taking the advantage of both methods, a new method was proposed combining k-means algorithm and NAR network to provide better forecasting results
Remaining Useful Life Prediction of Gas Turbine Engine using Autoregressive Model
Directory of Open Access Journals (Sweden)
Ahsan Shazaib
2017-01-01
Full Text Available Gas turbine (GT engines are known for their high availability and reliability and are extensively used for power generation, marine and aero-applications. Maintenance of such complex machines should be done proactively to reduce cost and sustain high availability of the GT. The aim of this paper is to explore the use of autoregressive (AR models to predict remaining useful life (RUL of a GT engine. The Turbofan Engine data from NASA benchmark data repository is used as case study. The parametric investigation is performed to check on any effect of changing model parameter on modelling accuracy. Results shows that a single sensory data cannot accurately predict RUL of GT and further research need to be carried out by incorporating multi-sensory data. Furthermore, the predictions made using AR model seems to give highly pessimistic values for RUL of GT.
International Nuclear Information System (INIS)
McCall, K C; Jeraj, R
2007-01-01
A new approach to the problem of modelling and predicting respiration motion has been implemented. This is a dual-component model, which describes the respiration motion as a non-periodic time series superimposed onto a periodic waveform. A periodic autoregressive moving average algorithm has been used to define a mathematical model of the periodic and non-periodic components of the respiration motion. The periodic components of the motion were found by projecting multiple inhale-exhale cycles onto a common subspace. The component of the respiration signal that is left after removing this periodicity is a partially autocorrelated time series and was modelled as an autoregressive moving average (ARMA) process. The accuracy of the periodic ARMA model with respect to fluctuation in amplitude and variation in length of cycles has been assessed. A respiration phantom was developed to simulate the inter-cycle variations seen in free-breathing and coached respiration patterns. At ±14% variability in cycle length and maximum amplitude of motion, the prediction errors were 4.8% of the total motion extent for a 0.5 s ahead prediction, and 9.4% at 1.0 s lag. The prediction errors increased to 11.6% at 0.5 s and 21.6% at 1.0 s when the respiration pattern had ±34% variations in both these parameters. Our results have shown that the accuracy of the periodic ARMA model is more strongly dependent on the variations in cycle length than the amplitude of the respiration cycles
Dang, Shilpa; Chaudhury, Santanu; Lall, Brejesh; Roy, Prasun Kumar
2017-02-15
Effective connectivity (EC) analysis of neuronal groups using fMRI delivers insights about functional-integration. However, fMRI signal has low-temporal resolution due to down-sampling and indirectly measures underlying neuronal activity. The aim is to address above issues for more reliable EC estimates. This paper proposes use of autoregressive hidden Markov model with missing data (AR-HMM-md) in dynamically multi-linked (DML) framework for learning EC using multiple fMRI time series. In our recent work (Dang et al., 2016), we have shown how AR-HMM-md for modelling single fMRI time series outperforms the existing methods. AR-HMM-md models unobserved neuronal activity and lost data over time as variables and estimates their values by joint optimization given fMRI observation sequence. The effectiveness in learning EC is shown using simulated experiments. Also the effects of sampling and noise are studied on EC. Moreover, classification-experiments are performed for Attention-Deficit/Hyperactivity Disorder subjects and age-matched controls for performance evaluation of real data. Using Bayesian model selection, we see that the proposed model converged to higher log-likelihood and demonstrated that group-classification can be performed with higher cross-validation accuracy of above 94% using distinctive network EC which characterizes patients vs. The full data EC obtained from DML-AR-HMM-md is more consistent with previous literature than the classical multivariate Granger causality method. The proposed architecture leads to reliable estimates of EC than the existing latent models. This framework overcomes the disadvantage of low-temporal resolution and improves cross-validation accuracy significantly due to presence of missing data variables and autoregressive process. Copyright © 2016 Elsevier B.V. All rights reserved.
International Nuclear Information System (INIS)
Wang, Jianzhou; Hu, Jianming
2015-01-01
With the increasing importance of wind power as a component of power systems, the problems induced by the stochastic and intermittent nature of wind speed have compelled system operators and researchers to search for more reliable techniques to forecast wind speed. This paper proposes a combination model for probabilistic short-term wind speed forecasting. In this proposed hybrid approach, EWT (Empirical Wavelet Transform) is employed to extract meaningful information from a wind speed series by designing an appropriate wavelet filter bank. The GPR (Gaussian Process Regression) model is utilized to combine independent forecasts generated by various forecasting engines (ARIMA (Autoregressive Integrated Moving Average), ELM (Extreme Learning Machine), SVM (Support Vector Machine) and LSSVM (Least Square SVM)) in a nonlinear way rather than the commonly used linear way. The proposed approach provides more probabilistic information for wind speed predictions besides improving the forecasting accuracy for single-value predictions. The effectiveness of the proposed approach is demonstrated with wind speed data from two wind farms in China. The results indicate that the individual forecasting engines do not consistently forecast short-term wind speed for the two sites, and the proposed combination method can generate a more reliable and accurate forecast. - Highlights: • The proposed approach can make probabilistic modeling for wind speed series. • The proposed approach adapts to the time-varying characteristic of the wind speed. • The hybrid approach can extract the meaningful components from the wind speed series. • The proposed method can generate adaptive, reliable and more accurate forecasting results. • The proposed model combines four independent forecasting engines in a nonlinear way.
Forecasting nuclear power supply with Bayesian autoregression
International Nuclear Information System (INIS)
Beck, R.; Solow, J.L.
1994-01-01
We explore the possibility of forecasting the quarterly US generation of electricity from nuclear power using a Bayesian autoregression model. In terms of forecasting accuracy, this approach compares favorably with both the Department of Energy's current forecasting methodology and their more recent efforts using ARIMA models, and it is extremely easy and inexpensive to implement. (author)
Mohd Haniff, NorAzza; Masih, Mansur
2016-01-01
The purpose of this paper is to determine the nature of relationship between consumer sentiment and consumer spending in the Malaysian context. The autoregressive distributed lag (ARDL) methodology is employed to test this relationship, controlling for information in other financial and economic indicators. The stability of the functions is tested by CUSUM and CUSUMQ and no structural break was found. Overall, the results show that the Consumer Sentiment Index does not have any predictive val...
Multivariate Exponential Autoregressive and Autoregressive Moving ...
African Journals Online (AJOL)
Autoregressive (AR) and autoregressive moving average (ARMA) processes with multivariate exponential (ME) distribution are presented and discussed. The theory of positive dependence is used to show that in many cases, multivariate exponential autoregressive (MEAR) and multivariate autoregressive moving average ...
DEFF Research Database (Denmark)
Thomsen, C E; Rosenfalck, A; Nørregaard Christensen, K
1991-01-01
The brain activity electroencephalogram (EEG) was recorded from 30 healthy women scheduled for hysterectomy. The patients were anaesthetized with isoflurane, halothane or etomidate/fentanyl. A multiparametric method was used for extraction of amplitude and frequency information from the EEG....... The method applied autoregressive modelling of the signal, segmented in 2 s fixed intervals. The features from the EEG segments were used for learning and for classification. The learning process was unsupervised and hierarchical clustering analysis was used to construct a learning set of EEG amplitude......-frequency patterns for each of the three anaesthetic drugs. These EEG patterns were assigned to a colour code corresponding to similar clinical states. A common learning set could be used for all patients anaesthetized with the same drug. The classification process could be performed on-line and the results were...
Bekti, Rokhana Dwi; Nurhadiyanti, Gita; Irwansyah, Edy
2014-10-01
The diarrhea case pattern information, especially for toddler, is very important. It is used to show the distribution of diarrhea in every region, relationship among that locations, and regional economic characteristic or environmental behavior. So, this research uses spatial pattern to perform them. This method includes: Moran's I, Spatial Autoregressive Models (SAR), and Local Indicator of Spatial Autocorrelation (LISA). It uses sample from 23 sub districts of Bekasi Regency, West Java, Indonesia. Diarrhea case, regional economic, and environmental behavior of households have a spatial relationship among sub district. SAR shows that the percentage of Regional Gross Domestic Product is significantly effect on diarrhea at α = 10%. Therefore illiteracy and health center facilities are significant at α = 5%. With LISA test, sub districts in southern Bekasi have high dependencies with Cikarang Selatan, Serang Baru, and Setu. This research also builds development application that is based on java and R to support data analysis.
Generalizing smooth transition autoregressions
DEFF Research Database (Denmark)
Chini, Emilio Zanetti
We introduce a variant of the smooth transition autoregression - the GSTAR model - capable to parametrize the asymmetry in the tails of the transition equation by using a particular generalization of the logistic function. A General-to-Specific modelling strategy is discussed in detail...
Benbenishty, Rami; Astor, Ron Avi; Roziner, Ilan; Wrabel, Stephani L.
2016-01-01
The present study explores the causal link between school climate, school violence, and a school's general academic performance over time using a school-level, cross-lagged panel autoregressive modeling design. We hypothesized that reductions in school violence and climate improvement would lead to schools' overall improved academic performance.…
Boynton, RJ; Balikhin, MA; Billings, SA; Amariutei, OA
2013-01-01
The nonlinear autoregressive moving average with exogenous inputs (NARMAX) system identification technique is applied to various aspects of the magnetospheres dynamics. It is shown, from an example system, how the inputs to a system can be found from the error reduction ratio (ERR) analysis, a key concept of the NARMAX approach. The application of the NARMAX approach to the Dst (disturbance storm time) index and the electron fluxes at geostationary Earth orbit (GEO) are reviewed, revealing ne...
CARBayes: An R Package for Bayesian Spatial Modeling with Conditional Autoregressive Priors
Directory of Open Access Journals (Sweden)
Duncan Lee
2013-11-01
Full Text Available Conditional autoregressive models are commonly used to represent spatial autocorrelation in data relating to a set of non-overlapping areal units, which arise in a wide variety of applications including agriculture, education, epidemiology and image analysis. Such models are typically specified in a hierarchical Bayesian framework, with inference based on Markov chain Monte Carlo (MCMC simulation. The most widely used software to fit such models is WinBUGS or OpenBUGS, but in this paper we introduce the R package CARBayes. The main advantage of CARBayes compared with the BUGS software is its ease of use, because: (1 the spatial adjacency information is easy to specify as a binary neighbourhood matrix; and (2 given the neighbourhood matrix the models can be implemented by a single function call in R. This paper outlines the general class of Bayesian hierarchical models that can be implemented in the CARBayes software, describes their implementation via MCMC simulation techniques, and illustrates their use with two worked examples in the fields of house price analysis and disease mapping.
A time series model: First-order integer-valued autoregressive (INAR(1))
Simarmata, D. M.; Novkaniza, F.; Widyaningsih, Y.
2017-07-01
Nonnegative integer-valued time series arises in many applications. A time series model: first-order Integer-valued AutoRegressive (INAR(1)) is constructed by binomial thinning operator to model nonnegative integer-valued time series. INAR (1) depends on one period from the process before. The parameter of the model can be estimated by Conditional Least Squares (CLS). Specification of INAR(1) is following the specification of (AR(1)). Forecasting in INAR(1) uses median or Bayesian forecasting methodology. Median forecasting methodology obtains integer s, which is cumulative density function (CDF) until s, is more than or equal to 0.5. Bayesian forecasting methodology forecasts h-step-ahead of generating the parameter of the model and parameter of innovation term using Adaptive Rejection Metropolis Sampling within Gibbs sampling (ARMS), then finding the least integer s, where CDF until s is more than or equal to u . u is a value taken from the Uniform(0,1) distribution. INAR(1) is applied on pneumonia case in Penjaringan, Jakarta Utara, January 2008 until April 2016 monthly.
Directory of Open Access Journals (Sweden)
Shapan Chandra Majumder
2016-03-01
Full Text Available This study examines the long-run impact of remittances on economic growth in Bangladesh. Bangladesh, being one of the top remittance-recipient countries in the world, has drawn attention to the remittance-output relationship in recent years. In 2014, remittances contributed to 8.2% of GDP of Bangladesh while the contribution was 6.7% in 2006. The main objective of this study is to investigate the impact of the remittance on economic growth (GDP. We adopted Autoregressive Distributed Lag (ARDL models or dynamic linear regressions are widely used to examine the relationship between remittances and economic growth in the country. In testing for the unit root properties of the time series data, all variables are found stationary at first differencing level under the ADF and PP stationary tests. The study made use of diagnostic tests such as the residual normality test, heteroskedacity and serial autocorrelation tests for misspecification in order to validate the parameter estimation outcomes achieved by the estimated model. The stability test of the model is also checked by CUSUM test. The ARDL model presents that there exist a statistically significant long run positive relationship between remittance and economic growth of gross domestic product in Bangladesh.
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mohammad reza kohansal
2017-12-01
Full Text Available In terms of quality and quantity, Iranian saffron has a considerable position at the international level and by taking advantage of the existing capacity; we can significantly increase the export earnings from it. On the other hand, sales forecasting based on time series analysis is s a very important element for the designing and implementing of marketing strategies in the international arena. However, the conventional approaches to forecasting, by ignoring the linear (or nonlinear structure of data, do not provide accurate results. Therefore, the main objective of this study is to design a hybrid model consisting of two methods, artificial neural networks (ANN and autoregressive integrated moving average (ARIMA, in order to overcome the deficiencies and the use of the unique features of the each of these methods. Using the data related to the export of Iranian saffron during the period 1904-2013, the results of the study showed that the ARIMA–ANN hybrid model is stronger and better performance than ARIMA and ANN individual models in order to forecasting of Iranian saffron export. Therefore, given the considerable performance ARIMA–ANN hybrid model, the use of this model is recommended in setting strategies related to the export and also in the forecasting of the forecasting of time series variables.
Zhang, Xujun; Pang, Yuanyuan; Cui, Mengjing; Stallones, Lorann; Xiang, Huiyun
2015-02-01
Road traffic injuries have become a major public health problem in China. This study aimed to develop statistical models for predicting road traffic deaths and to analyze seasonality of deaths in China. A seasonal autoregressive integrated moving average (SARIMA) model was used to fit the data from 2000 to 2011. Akaike Information Criterion, Bayesian Information Criterion, and mean absolute percentage error were used to evaluate the constructed models. Autocorrelation function and partial autocorrelation function of residuals and Ljung-Box test were used to compare the goodness-of-fit between the different models. The SARIMA model was used to forecast monthly road traffic deaths in 2012. The seasonal pattern of road traffic mortality data was statistically significant in China. SARIMA (1, 1, 1) (0, 1, 1)12 model was the best fitting model among various candidate models; the Akaike Information Criterion, Bayesian Information Criterion, and mean absolute percentage error were -483.679, -475.053, and 4.937, respectively. Goodness-of-fit testing showed nonautocorrelations in the residuals of the model (Ljung-Box test, Q = 4.86, P = .993). The fitted deaths using the SARIMA (1, 1, 1) (0, 1, 1)12 model for years 2000 to 2011 closely followed the observed number of road traffic deaths for the same years. The predicted and observed deaths were also very close for 2012. This study suggests that accurate forecasting of road traffic death incidence is possible using SARIMA model. The SARIMA model applied to historical road traffic deaths data could provide important evidence of burden of road traffic injuries in China. Copyright © 2015 Elsevier Inc. All rights reserved.
Saha, Dibakar; Alluri, Priyanka; Gan, Albert; Wu, Wanyang
2018-02-21
The objective of this study was to investigate the relationship between bicycle crash frequency and their contributing factors at the census block group level in Florida, USA. Crashes aggregated over the census block groups tend to be clustered (i.e., spatially dependent) rather than randomly distributed. To account for the effect of spatial dependence across the census block groups, the class of conditional autoregressive (CAR) models were employed within the hierarchical Bayesian framework. Based on four years (2011-2014) of crash data, total and fatal-and-severe injury bicycle crash frequencies were modeled as a function of a large number of variables representing demographic and socio-economic characteristics, roadway infrastructure and traffic characteristics, and bicycle activity characteristics. This study explored and compared the performance of two CAR models, namely the Besag's model and the Leroux's model, in crash prediction. The Besag's models, which differ from the Leroux's models by the structure of how spatial autocorrelation are specified in the models, were found to fit the data better. A 95% Bayesian credible interval was selected to identify the variables that had credible impact on bicycle crashes. A total of 21 variables were found to be credible in the total crash model, while 18 variables were found to be credible in the fatal-and-severe injury crash model. Population, daily vehicle miles traveled, age cohorts, household automobile ownership, density of urban roads by functional class, bicycle trip miles, and bicycle trip intensity had positive effects in both the total and fatal-and-severe crash models. Educational attainment variables, truck percentage, and density of rural roads by functional class were found to be negatively associated with both total and fatal-and-severe bicycle crash frequencies. Published by Elsevier Ltd.
A Ramp Cosine Cepstrum Model for the Parameter Estimation of Autoregressive Systems at Low SNR
Directory of Open Access Journals (Sweden)
Shaikh Anowarul Fattah
2010-01-01
Full Text Available A new cosine cepstrum model-based scheme is presented for the parameter estimation of a minimum-phase autoregressive (AR system under low levels of signal-to-noise ratio (SNR. A ramp cosine cepstrum (RCC model for the one-sided autocorrelation function (OSACF of an AR signal is first proposed by considering both white noise and periodic impulse-train excitations. Using the RCC model, a residue-based least-squares optimization technique that guarantees the stability of the system is then presented in order to estimate the AR parameters from noisy output observations. For the purpose of implementation, the discrete cosine transform, which can efficiently handle the phase unwrapping problem and offer computational advantages as compared to the discrete Fourier transform, is employed. From extensive experimentations on AR systems of different orders, it is shown that the proposed method is capable of estimating parameters accurately and consistently in comparison to some of the existing methods for the SNR levels as low as −5 dB. As a practical application of the proposed technique, simulation results are also provided for the identification of a human vocal tract system using noise-corrupted natural speech signals demonstrating a superior estimation performance in terms of the power spectral density of the synthesized speech signals.
Linking Simple Economic Theory Models and the Cointegrated Vector AutoRegressive Model
DEFF Research Database (Denmark)
Møller, Niels Framroze
This paper attempts to clarify the connection between simple economic theory models and the approach of the Cointegrated Vector-Auto-Regressive model (CVAR). By considering (stylized) examples of simple static equilibrium models, it is illustrated in detail, how the theoretical model and its...
Investigating Spatial Interdependence in E-Bike Choice Using Spatially Autoregressive Model
Directory of Open Access Journals (Sweden)
Chengcheng Xu
2017-08-01
Full Text Available Increased attention has been given to promoting e-bike usage in recent years. However, the research gap still exists in understanding the effects of spatial interdependence on e-bike choice. This study investigated how spatial interdependence affected the e-bike choice. The Moran’s I statistic test showed that spatial interdependence exists in e-bike choice at aggregated level. Bayesian spatial autoregressive logistic analyses were then used to investigate the spatial interdependence at individual level. Separate models were developed for commuting and non-commuting trips. The factors affecting e-bike choice are different between commuting and non-commuting trips. Spatial interdependence exists at both origin and destination sides of commuting and non-commuting trips. Travellers are more likely to choose e-bikes if their neighbours at the trip origin and destination also travel by e-bikes. And the magnitude of this spatial interdependence is different across various traffic analysis zones. The results suggest that, without considering spatial interdependence, the traditional methods may have biased estimation results and make systematic forecasting errors.
Directory of Open Access Journals (Sweden)
Yunan Helmi Mahendra
2017-01-01
Full Text Available Tidur merupakan kebutuhan dasar manusia. Salah satu gangguan tidur yang cukup berbahaya adalah narkolepsi, yaitu gangguan tidur kronis yang ditandai dengan rasa kantuk yang luar biasa di siang hari dan serangan tidur yang terjadi secara tiba-tiba. Salah satu metode dokter untuk mendiagnosis penyakit narkolepsi adalah dengan melihat aktivitas gelombang otak (melalui sinyal EEG pasien. Penelitian ini bertujuan untuk mengembangkan perangkat lunak yang dapat mengklasifikasikan keadaan tidur dan bangun melalui sinyal EEG secara otomatis. Dataset EEG yang digunakan tersedia di Physionet. Pertama-tama data EEG yang menjadi masukan dilakukan normalisasi dan filtering. Proses filtering dilakukan untuk membagi data menjadi 3 subband yaitu theta, alpha, dan beta. Setelah itu pada masing-masing subband dilakukan tahap ekstraksi fitur menggunakan Autoregressive Model. Hasil estimasi koefisien AR model digunakan sebagai fitur. Metode yang digunakan untuk mengestimasi koefisien AR model yaitu metode Yule-Walker dan metode Burg. Dataset dibagi menjadi data latih dan data uji menggunakan 10-fold cross validation. Data training digunakan untuk membuat SVM Model. SVM Model digunakan untuk mengklasifikasikan data testing sehingga menghasilkan keluaran label 1 untuk tidur dan label 0 untuk bangun. Untuk menentukan kelas final dilakukan majority vote dari hasil klasifikasi masing-masing subband. Performa sistem diperoleh dengan menghitung akurasi, presisi, dan sensitivitas pada setiap skenario uji coba. Skenario uji coba yang dilakukan antara lain dengan memvariasikan order AR, fungsi kernel, dan parameter C pada SVM. Dari hasil uji coba yang dilakukan, metode Yule-Walker menghasilkan rata-rata akurasi 80.60%, presisi 78.19%, dan sensitivitas 77.56%. Metode Burg menghasilkan akurasi 94.01%, presisi 95.70%, dan sensitivitas 93.39%. Hasil tersebut menunjukkan metode Burg memiliki performa lebih baik dibandingan dengan metode Yule-Walker.
Wo-Chiang Lee; Joe-Ming Lee
2014-01-01
This article applies the threshold autoregressive model to investigate the relationship between bond funds’ net flow and investment risk in Taiwan. Our empirical findings show that bond funds’ investors are concerned about the investment return and neglect the investment risk. In particular, when expanding the size of the bond funds, fund investors believe that the fund cannot lose any money on investment products. In order to satisfy investors, bond fund managers only target short-term retur...
Directory of Open Access Journals (Sweden)
Ryan Louise
2007-11-01
Full Text Available Abstract Background The Conditional Autoregressive (CAR model is widely used in many small-area ecological studies to analyse outcomes measured at an areal level. There has been little evaluation of the influence of different neighbourhood weight matrix structures on the amount of smoothing performed by the CAR model. We examined this issue in detail. Methods We created several neighbourhood weight matrices and applied them to a large dataset of births and birth defects in New South Wales (NSW, Australia within 198 Statistical Local Areas. Between the years 1995–2003, there were 17,595 geocoded birth defects and 770,638 geocoded birth records with available data. Spatio-temporal models were developed with data from 1995–2000 and their fit evaluated within the following time period: 2001–2003. Results We were able to create four adjacency-based weight matrices, seven distance-based weight matrices and one matrix based on similarity in terms of a key covariate (i.e. maternal age. In terms of agreement between observed and predicted relative risks, categorised in epidemiologically relevant groups, generally the distance-based matrices performed better than the adjacency-based neighbourhoods. In terms of recovering the underlying risk structure, the weight-7 model (smoothing by maternal-age 'Covariate model' was able to correctly classify 35/47 high-risk areas (sensitivity 74% with a specificity of 47%, and the 'Gravity' model had sensitivity and specificity values of 74% and 39% respectively. Conclusion We found considerable differences in the smoothing properties of the CAR model, depending on the type of neighbours specified. This in turn had an effect on the models' ability to recover the observed risk in an area. Prior to risk mapping or ecological modelling, an exploratory analysis of the neighbourhood weight matrix to guide the choice of a suitable weight matrix is recommended. Alternatively, the weight matrix can be chosen a priori
Unsupervised parsing of gaze data with a beta-process vector auto-regressive hidden Markov model.
Houpt, Joseph W; Frame, Mary E; Blaha, Leslie M
2017-10-26
The first stage of analyzing eye-tracking data is commonly to code the data into sequences of fixations and saccades. This process is usually automated using simple, predetermined rules for classifying ranges of the time series into events, such as "if the dispersion of gaze samples is lower than a particular threshold, then code as a fixation; otherwise code as a saccade." More recent approaches incorporate additional eye-movement categories in automated parsing algorithms by using time-varying, data-driven thresholds. We describe an alternative approach using the beta-process vector auto-regressive hidden Markov model (BP-AR-HMM). The BP-AR-HMM offers two main advantages over existing frameworks. First, it provides a statistical model for eye-movement classification rather than a single estimate. Second, the BP-AR-HMM uses a latent process to model the number and nature of the types of eye movements and hence is not constrained to predetermined categories. We applied the BP-AR-HMM both to high-sampling rate gaze data from Andersson et al. (Behavior Research Methods 49(2), 1-22 2016) and to low-sampling rate data from the DIEM project (Mital et al., Cognitive Computation 3(1), 5-24 2011). Driven by the data properties, the BP-AR-HMM identified over five categories of movements, some which clearly mapped on to fixations and saccades, and others potentially captured post-saccadic oscillations, smooth pursuit, and various recording errors. The BP-AR-HMM serves as an effective algorithm for data-driven event parsing alone or as an initial step in exploring the characteristics of gaze data sets.
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Ali Akbar Akbari
2014-08-01
Full Text Available Introduction In order to improve the quality of life of amputees, biomechatronic researchers and biomedical engineers have been trying to use a combination of various techniques to provide suitable rehabilitation systems. Diverse biomedical signals, acquired from a specialized organ or cell system, e.g., the nervous system, are the driving force for the whole system. Electromyography(EMG, as an experimental technique,is concerned with the development, recording, and analysis of myoelectric signals. EMG-based research is making progress in the development of simple, robust, user-friendly, and efficient interface devices for the amputees. Materials and Methods Prediction of muscular activity and motion patterns is a common, practical problem in prosthetic organs. Recurrent neural network (RNN models are not only applicable for the prediction of time series, but are also commonly used for the control of dynamical systems. The prediction can be assimilated to identification of a dynamic process. An architectural approach of RNN with embedded memory is Nonlinear Autoregressive Exogenous (NARX model, which seems to be suitable for dynamic system applications. Results Performance of NARX model is verified for several chaotic time series, which are applied as input for the neural network. The results showed that NARX has the potential to capture the model of nonlinear dynamic systems. The R-value and MSE are and , respectively. Conclusion EMG signals of deltoid and pectoralis major muscles are the inputs of the NARX network. It is possible to obtain EMG signals of muscles in other arm motions to predict the lost functions of the absent arm in above-elbow amputees, using NARX model.
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Schehrazad Selmane
2016-10-01
Full Text Available OBJECTIVES The aims of this study were to highlight some epidemiological aspects of scorpion envenomations, to analyse and interpret the available data for Biskra province, Algeria, and to develop a forecasting model for scorpion sting cases in Biskra province, which records the highest number of scorpion stings in Algeria. METHODS In addition to analysing the epidemiological profile of scorpion stings that occurred throughout the year 2013, we used the Box-Jenkins approach to fit a seasonal autoregressive integrated moving average (SARIMA model to the monthly recorded scorpion sting cases in Biskra from 2000 to 2012. RESULTS The epidemiological analysis revealed that scorpion stings were reported continuously throughout the year, with peaks in the summer months. The most affected age group was 15 to 49 years old, with a male predominance. The most prone human body areas were the upper and lower limbs. The majority of cases (95.9% were classified as mild envenomations. The time series analysis showed that a (5,1,0×(0,1,112 SARIMA model offered the best fit to the scorpion sting surveillance data. This model was used to predict scorpion sting cases for the year 2013, and the fitted data showed considerable agreement with the actual data. CONCLUSIONS SARIMA models are useful for monitoring scorpion sting cases, and provide an estimate of the variability to be expected in future scorpion sting cases. This knowledge is helpful in predicting whether an unusual situation is developing or not, and could therefore assist decision-makers in strengthening the province’s prevention and control measures and in initiating rapid response measures.
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Yu-Pin Liao
2017-11-01
Full Text Available In the past few decades, demand forecasting has become relatively difficult due to rapid changes in the global environment. This research illustrates the use of the make-to-stock (MTS production strategy in order to explain how forecasting plays an essential role in business management. The linear mixed-effect (LME model has been extensively developed and is widely applied in various fields. However, no study has used the LME model for business forecasting. We suggest that the LME model be used as a tool for prediction and to overcome environment complexity. The data analysis is based on real data in an international display company, where the company needs accurate demand forecasting before adopting a MTS strategy. The forecasting result from the LME model is compared to the commonly used approaches, including the regression model, autoregressive model, times series model, and exponential smoothing model, with the results revealing that prediction performance provided by the LME model is more stable than using the other methods. Furthermore, product types in the data are regarded as a random effect in the LME model, hence demands of all types can be predicted simultaneously using a single LME model. However, some approaches require splitting the data into different type categories, and then predicting the type demand by establishing a model for each type. This feature also demonstrates the practicability of the LME model in real business operations.
I. M. Yassin; M. F. Abdul Khalid; S. H. Herman; I. Pasya; N. Ab Wahab; Z. Awang
2017-01-01
The prediction of stocks in the stock market is important in investment as it would help the investor to time buy and sell transactions to maximize profits. In this paper, a Multi-Layer Perceptron (MLP)-based Nonlinear Auto-Regressive with Exogenous Inputs (NARX) model was used to predict the prices of the Apple Inc. weekly stock prices over a time horizon of 1995 to 2013. The NARX model belongs is a system identification model that constructs a mathematical model from the dynamic input/outpu...
Szolgayova, Elena
2010-05-01
hydrological models. However, the GARCH family of models proved to be suited in removing it only in daily time step. The basic GARCH model was not applicable on any of the time series. In all other investigated cases, the EGARCH(1,1) model had to be used. Unlike in econometric time series, where the so called leverage effect (i.e. the series reacts more strongly to negative changes) is present and pointed out by this model, here the data tends to react more strongly on positive changes. In this particular case it was found, that the general property of hydrological processes, that the rise of discharge is rainfall driven (a highly nonlinear chaotic intermittent process) and the decrease of discharge is ruled by the damping effects of the water storage in the driven system (catchment or river reach), is present also in the hydrological model error series. This shows, that the modelling and forecasting of floods (pulse like rising discharge) is a more demanding task than that of droughts (slowly decreasing flows). Even though the GARCH models did show partial improvements in the modelling and forecasting of flows, they still have several serious disadvantages (such as high sensitivity to the chosen fitting period) and possible further use should be further investigated. These results are of importance with respect to future attempts of modelling of error time series of hydrological models in such hybrid frameworks. They underpin the need of a non-mechanistic approach in the case based analysis of such data and the physical interpretation of statistical modelling results.
Lu, Fengbin; Qiao, Han; Wang, Shouyang; Lai, Kin Keung; Li, Yuze
2017-01-01
This paper proposes a new time-varying coefficient vector autoregressions (VAR) model, in which the coefficient is a linear function of dynamic lagged correlation. The proposed model allows for flexibility in choices of dynamic correlation models (e.g. dynamic conditional correlation generalized autoregressive conditional heteroskedasticity (GARCH) models, Markov-switching GARCH models and multivariate stochastic volatility models), which indicates that it can describe many types of time-varying causal effects. Time-varying causal relations between West Texas Intermediate (WTI) crude oil and the US Standard and Poor's 500 (S&P 500) stock markets are examined by the proposed model. The empirical results show that their causal relations evolve with time and display complex characters. Both positive and negative causal effects of the WTI on the S&P 500 in the subperiods have been found and confirmed by the traditional VAR models. Similar results have been obtained in the causal effects of S&P 500 on WTI. In addition, the proposed model outperforms the traditional VAR model. Copyright Â© 2016 Elsevier Ltd. All rights reserved.
Boosting Nonlinear Additive Autoregressive Time Series
Shafik, Nivien; Tutz, Gerhard
2007-01-01
Within the last years several methods for the analysis of nonlinear autoregressive time series have been proposed. As in linear autoregressive models main problems are model identification, estimation and prediction. A boosting method is proposed that performs model identification and estimation simultaneously within the framework of nonlinear autoregressive time series. The method allows to select influential terms from a large numbers of potential lags and exogenous variables. The influence...
DEFF Research Database (Denmark)
He, Changli; Kang, Jian; Terasvirta, Timo
In this paper we introduce an autoregressive model with seasonal dummy variables in which coefficients of seasonal dummies vary smoothly and deterministically over time. The error variance of the model is seasonally heteroskedastic and multiplicatively decomposed, the decomposition being similar...... to that in well known ARCH and GARCH models. This variance is also allowed to be smoothly and deterministically time-varying. Under regularity conditions, consistency and asymptotic normality of the maximum likelihood estimators of parameters of this model is proved. A test of constancy of the seasonal...... coefficients is derived. The test is generalised to specifying the parametric structure of the model. A test of constancy over time of the heteroskedastic error variance is presented. The purpose of building this model is to use it for describing changing seasonality in the well-known monthly central England...
Alegana, Victor A; Atkinson, Peter M; Wright, Jim A; Kamwi, Richard; Uusiku, Petrina; Katokele, Stark; Snow, Robert W; Noor, Abdisalan M
2013-12-01
As malaria transmission declines, it becomes increasingly important to monitor changes in malaria incidence rather than prevalence. Here, a spatio-temporal model was used to identify constituencies with high malaria incidence to guide malaria control. Malaria cases were assembled across all age groups along with several environmental covariates. A Bayesian conditional-autoregressive model was used to model the spatial and temporal variation of incidence after adjusting for test positivity rates and health facility utilisation. Of the 144,744 malaria cases recorded in Namibia in 2009, 134,851 were suspected and 9893 were parasitologically confirmed. The mean annual incidence based on the Bayesian model predictions was 13 cases per 1000 population with the highest incidence predicted for constituencies bordering Angola and Zambia. The smoothed maps of incidence highlight trends in disease incidence. For Namibia, the 2009 maps provide a baseline for monitoring the targets of pre-elimination. Copyright © 2013 The Authors. Published by Elsevier Ltd.. All rights reserved.
DEFF Research Database (Denmark)
Pinson, Pierre; Madsen, Henrik
2008-01-01
Better modelling and forecasting of very short-term power fluctuations at large offshore wind farms may significantly enhance control and management strategies of their power output. The paper introduces a new methodology for modelling and forecasting such very short-term fluctuations. The proposed...... consists in 1-step ahead forecasting exercise on time-series of wind generation with a time resolution of 10 minute. The quality of the introduced forecasting methodology and its interest for better understanding power fluctuations are finally discussed....... methodology is based on a Markov-switching autoregressive model with time-varying coefficients. An advantage of the method is that one can easily derive full predictive densities. The quality of this methodology is demonstrated from the test case of 2 large offshore wind farms in Denmark. The exercise...
DEFF Research Database (Denmark)
Chon, K H; Cohen, R J; Holstein-Rathlou, N H
1997-01-01
average models, as is the case for the Volterra-Wiener analysis, we propose an ARMA model-based approach. The proposed algorithm is essentially the same as LEK, but this algorithm is extended to include past values of the output as well. Thus, all of the advantages associated with using the Laguerre...... the physiological interpretation of higher order kernels easier. Furthermore, simulation results show better performance of the proposed approach in estimating the system dynamics than LEK in certain cases, and it remains effective in the presence of significant additive measurement noise....
Oil Price Volatility and Economic Growth in Nigeria: a Vector Auto-Regression (VAR Approach
Directory of Open Access Journals (Sweden)
Edesiri Godsday Okoro
2014-02-01
Full Text Available The study examined oil price volatility and economic growth in Nigeria linking oil price volatility, crude oil prices, oil revenue and Gross Domestic Product. Using quarterly data sourced from the Central Bank of Nigeria (CBN Statistical Bulletin and World Bank Indicators (various issues spanning 1980-2010, a non‐linear model of oil price volatility and economic growth was estimated using the VAR technique. The study revealed that oil price volatility has significantly influenced the level of economic growth in Nigeria although; the result additionally indicated a negative relationship between the oil price volatility and the level of economic growth. Furthermore, the result also showed that the Nigerian economy survived on crude oil, to such extent that the country‘s budget is tied to particular price of crude oil. This is not a good sign for a developing economy, more so that the country relies almost entirely on revenue of the oil sector as a source of foreign exchange earnings. This therefore portends some dangers for the economic survival of Nigeria. It was recommended amongst others that there should be a strong need for policy makers to focus on policy that will strengthen/stabilize the economy with specific focus on alternative sources of government revenue. Finally, there should be reduction in monetization of crude oil receipts (fiscal discipline, aggressive saving of proceeds from oil booms in future in order to withstand vicissitudes of oil price volatility in future.
CSIR Research Space (South Africa)
Das, Sonali
2010-01-01
Full Text Available This paper uses the dynamic factor model framework, which accommodates a large cross-section of macroeconomic time series, for forecasting regional house price inflation. In this study, the authors forecast house price inflation for five...
International Nuclear Information System (INIS)
Marseguerra, M.; Minoggio, S.; Rossi, A.; Zio, E.
1992-01-01
The correlated noise affecting many industrial plants under stationary or cyclo-stationary conditions - nuclear reactors included -has been successfully modeled by autoregressive moving average (ARMA) due to the versatility of this technique. The relatively recent neural network methods have similar features and much effort is being devoted to exploring their usefulness in forecasting and control. Identifying a signal by means of an ARMA model gives rise to the problem of selecting its correct order. Similar difficulties must be faced when applying neural network methods and, specifically, particular care must be given to the setting up of the appropriate network topology, the data normalization procedure and the learning code. In the present paper the capability of some neural networks of learning ARMA and seasonal ARMA processes is investigated. The results of the tested cases look promising since they indicate that the neural networks learn the underlying process with relative ease so that their forecasting capability may represent a convenient fault diagnosis tool. (Author)
Directory of Open Access Journals (Sweden)
Zina Boussaada
2018-03-01
Full Text Available The solar photovoltaic (PV energy has an important place among the renewable energy sources. Therefore, several researchers have been interested by its modelling and its prediction, in order to improve the management of the electrical systems which include PV arrays. Among the existing techniques, artificial neural networks have proved their performance in the prediction of the solar radiation. However, the existing neural network models don’t satisfy the requirements of certain specific situations such as the one analyzed in this paper. The aim of this research work is to supply, with electricity, a race sailboat using exclusively renewable sources. The developed solution predicts the direct solar radiation on a horizontal surface. For that, a Nonlinear Autoregressive Exogenous (NARX neural network is used. All the specific conditions of the sailboat operation are taken into account. The results show that the best prediction performance is obtained when the training phase of the neural network is performed periodically.
DEFF Research Database (Denmark)
Pinson, Pierre; Madsen, Henrik
optimized is based on penalized maximum-likelihood, with exponential forgetting of past observations. MSAR models are then employed for 1-step-ahead point forecasting of 10-minute resolution time-series of wind power at two large offshore wind farms. They are favourably compared against persistence and Auto......Wind power production data at temporal resolutions of a few minutes exhibits successive periods with fluctuations of various dynamic nature and magnitude, which cannot be explained (so far) by the evolution of some explanatory variable. Our proposal is to capture this regime-switching behaviour......Regressive (AR) models. It is finally shown that the main interest of MSAR models lies in their ability to generate interval/density forecasts of significantly higher skill....
DEFF Research Database (Denmark)
Silvennoinen, Annastiina; Teräsvirta, Timo
another variable according to which the correlations change smoothly between states of constant correlations. A Lagrange multiplier test is derived to test the constancy of correlations against the DSTCC-GARCH model, and another one to test for another transition in the STCC-GARCH framework. In addition...
Behavioural Pattern of Causality Parameter of Autoregressive ...
African Journals Online (AJOL)
In this paper, a causal form of Autoregressive Moving Average process, ARMA (p, q) of various orders and behaviour of the causality parameter of ARMA model is investigated. It is deduced that the behaviour of causality parameter ψi depends on positive and negative values of autoregressive parameter φ and moving ...
Mixed Causal-Noncausal Autoregressions with Strictly Exogenous Regressors
Hecq, Alain; Issler, J.V.; Telg, Sean
2017-01-01
The mixed autoregressive causal-noncausal model (MAR) has been proposed to estimate economic relationships involving explosive roots in their autoregressive part, as they have stationary forward solutions. In previous work, possible exogenous variables in economic relationships are substituted into
Directory of Open Access Journals (Sweden)
Cristhian Moreno-Chaparro
2011-12-01
Full Text Available This paper proposes a monthly electricity forecast method for the National Interconnected System (SIN of Colombia. The method preprocesses the time series using a Multiresolution Analysis (MRA with Discrete Wavelet Transform (DWT; a study for the selection of the mother wavelet and her order, as well as the level decomposition was carried out. Given that original series follows a non-linear behaviour, a neural nonlinear autoregressive (NAR model was used. The prediction was obtained by adding the forecast trend with the estimated obtained by the residual series combined with further components extracted from preprocessing. A bibliographic review of studies conducted internationally and in Colombia is included, in addition to references to investigations made with wavelet transform applied to electric energy prediction and studies reporting the use of NAR in prediction.
Energy Technology Data Exchange (ETDEWEB)
Geraldo, Issa Cherif [Laboratoire d’Automatique, Génie Informatique et Signal (LAGIS UMR CNRS 8219), Université Lille 1, Sciences et technologies, Avenue Paul Langevin, BP 48, 59651 Villeneuve d’Ascq CEDEX (France); Bose, Tanmoy [Indian Institute of Technology Kharagpur, Kharagpur 721302, West Bengal (India); Pekpe, Komi Midzodzi, E-mail: midzodzi.pekpe@univ-lille1.fr [Laboratoire d’Automatique, Génie Informatique et Signal (LAGIS UMR CNRS 8219), Université Lille 1, Sciences et technologies, Avenue Paul Langevin, BP 48, 59651 Villeneuve d’Ascq CEDEX (France); Cassar, Jean-Philippe [Laboratoire d’Automatique, Génie Informatique et Signal (LAGIS UMR CNRS 8219), Université Lille 1, Sciences et technologies, Avenue Paul Langevin, BP 48, 59651 Villeneuve d’Ascq CEDEX (France); Mohanty, A.R. [Indian Institute of Technology Kharagpur, Kharagpur 721302, West Bengal (India); Paumel, Kévin [CEA, DEN, Nuclear Technology Department, F-13108 Saint-Paul-lez-Durance (France)
2014-10-15
Highlights: • The work deals with sodium boiling detection in a liquid metal fast breeder reactor. • The authors choose to use acoustic data instead of thermal data. • The method is designed to not to be disturbed by the environment noises. • A real time boiling detection methods are proposed in the paper. - Abstract: This paper deals with acoustic monitoring of sodium boiling in a liquid metal fast breeder reactor (LMFBR) based on auto regressive (AR) models which have low computational complexities. Some authors have used AR models for sodium boiling or sodium–water reaction detection. These works are based on the characterization of the difference between fault free condition and current functioning of the system. However, even in absence of faults, it is possible to observe a change in the AR models due to the change of operating mode of the LMFBR. This sets up the delicate problem of how to distinguish a change in operating mode in absence of faults and a change due to presence of faults. In this paper we propose a new approach for boiling detection based on the estimation of AR models on sliding windows. Afterwards, classification of the models into boiling or non-boiling models is made by comparing their coefficients by two statistical methods, multiple linear regression (LR) and support vectors machines (SVM). The proposed approach takes into account operating mode information in order to avoid false alarms. Experimental data include non-boiling background noise data collected from Phenix power plant (France) and provided by the CEA (Commissariat à l’Energie Atomique et aux énergies alternatives, France) and boiling condition data generated in laboratory. High boiling detection rates as well as low false alarms rates obtained on these experimental data show that the proposed method is efficient for boiling detection. Most importantly, it shows that the boiling phenomenon introduces a disturbance into the AR models that can be clearly detected.
Hamisu Sadi Ali; Zulkornain Bin Yusop; Law Siong Hook
2015-01-01
Using autoregressive distributed lag bound test framework, the dynamics of financial development, economic growth, energy prices and energy consumption was investigated in Nigeria for the period of 1972Q1-2011Q4. The finding signifies that variables were cointegrated as null hypothesis was rejected at 1% level of significance. In the short-run financial development has significant negative impact on fossil fuel consumption, economic growth also shows the same relationship. However, energy pri...
Directory of Open Access Journals (Sweden)
Chieh-Fan Chen
2011-01-01
Full Text Available This study analyzed meteorological, clinical and economic factors in terms of their effects on monthly ED revenue and visitor volume. Monthly data from January 1, 2005 to September 30, 2009 were analyzed. Spearman correlation and cross-correlation analyses were performed to identify the correlation between each independent variable, ED revenue, and visitor volume. Autoregressive integrated moving average (ARIMA model was used to quantify the relationship between each independent variable, ED revenue, and visitor volume. The accuracies were evaluated by comparing model forecasts to actual values with mean absolute percentage of error. Sensitivity of prediction errors to model training time was also evaluated. The ARIMA models indicated that mean maximum temperature, relative humidity, rainfall, non-trauma, and trauma visits may correlate positively with ED revenue, but mean minimum temperature may correlate negatively with ED revenue. Moreover, mean minimum temperature and stock market index fluctuation may correlate positively with trauma visitor volume. Mean maximum temperature, relative humidity and stock market index fluctuation may correlate positively with non-trauma visitor volume. Mean maximum temperature and relative humidity may correlate positively with pediatric visitor volume, but mean minimum temperature may correlate negatively with pediatric visitor volume. The model also performed well in forecasting revenue and visitor volume.
Altomare, Albino; Cesario, Eugenio; Mastroianni, Carlo
2016-10-01
The opportunity of using Cloud resources on a pay-as-you-go basis and the availability of powerful data centers and high bandwidth connections are speeding up the success and popularity of Cloud systems, which is making on-demand computing a common practice for enterprises and scientific communities. The reasons for this success include natural business distribution, the need for high availability and disaster tolerance, the sheer size of their computational infrastructure, and/or the desire to provide uniform access times to the infrastructure from widely distributed client sites. Nevertheless, the expansion of large data centers is resulting in a huge rise of electrical power consumed by hardware facilities and cooling systems. The geographical distribution of data centers is becoming an opportunity: the variability of electricity prices, environmental conditions and client requests, both from site to site and with time, makes it possible to intelligently and dynamically (re)distribute the computational workload and achieve as diverse business goals as: the reduction of costs, energy consumption and carbon emissions, the satisfaction of performance constraints, the adherence to Service Level Agreement established with users, etc. This paper proposes an approach that helps to achieve the business goals established by the data center administrators. The workload distribution is driven by a fitness function, evaluated for each data center, which weighs some key parameters related to business objectives, among which, the price of electricity, the carbon emission rate, the balance of load among the data centers etc. For example, the energy costs can be reduced by using a "follow the moon" approach, e.g. by migrating the workload to data centers where the price of electricity is lower at that time. Our approach uses data about historical usage of the data centers and data about environmental conditions to predict, with the help of regressive models, the values of the
A Mixture Innovation Heterogeneous Autoregressive Model for Structural Breaks and Long Memory
DEFF Research Database (Denmark)
Nonejad, Nima
Carlo simulations evaluate the properties of the estimation procedures. Results show that the proposed model is viable and flexible for purposes of forecasting volatility. Model uncertainty is accounted for by employing Bayesian model averaging. Bayesian model averaging provides very competitive...
Aydin, Alev Dilek; Caliskan Cavdar, Seyma
2015-01-01
The ANN method has been applied by means of multilayered feedforward neural networks (MLFNs) by using different macroeconomic variables such as the exchange rate of USD/TRY, gold prices, and the Borsa Istanbul (BIST) 100 index based on monthly data over the period of January 2000 and September 2014 for Turkey. Vector autoregressive (VAR) method has also been applied with the same variables for the same period of time. In this study, different from other studies conducted up to the present, ENCOG machine learning framework has been used along with JAVA programming language in order to constitute the ANN. The training of network has been done by resilient propagation method. The ex post and ex ante estimates obtained by the ANN method have been compared with the results obtained by the econometric forecasting method of VAR. Strikingly, our findings based on the ANN method reveal that there is a possibility of financial distress or a financial crisis in Turkey starting from October 2017. The results which were obtained with the method of VAR also support the results of ANN method. Additionally, our results indicate that the ANN approach has more superior prediction performance than the VAR method.
Aydin, Alev Dilek; Caliskan Cavdar, Seyma
2015-01-01
The ANN method has been applied by means of multilayered feedforward neural networks (MLFNs) by using different macroeconomic variables such as the exchange rate of USD/TRY, gold prices, and the Borsa Istanbul (BIST) 100 index based on monthly data over the period of January 2000 and September 2014 for Turkey. Vector autoregressive (VAR) method has also been applied with the same variables for the same period of time. In this study, different from other studies conducted up to the present, ENCOG machine learning framework has been used along with JAVA programming language in order to constitute the ANN. The training of network has been done by resilient propagation method. The ex post and ex ante estimates obtained by the ANN method have been compared with the results obtained by the econometric forecasting method of VAR. Strikingly, our findings based on the ANN method reveal that there is a possibility of financial distress or a financial crisis in Turkey starting from October 2017. The results which were obtained with the method of VAR also support the results of ANN method. Additionally, our results indicate that the ANN approach has more superior prediction performance than the VAR method. PMID:26550010
Wang, Yiyi; Kockelman, Kara M
2013-11-01
This work examines the relationship between 3-year pedestrian crash counts across Census tracts in Austin, Texas, and various land use, network, and demographic attributes, such as land use balance, residents' access to commercial land uses, sidewalk density, lane-mile densities (by roadway class), and population and employment densities (by type). The model specification allows for region-specific heterogeneity, correlation across response types, and spatial autocorrelation via a Poisson-based multivariate conditional auto-regressive (CAR) framework and is estimated using Bayesian Markov chain Monte Carlo methods. Least-squares regression estimates of walk-miles traveled per zone serve as the exposure measure. Here, the Poisson-lognormal multivariate CAR model outperforms an aspatial Poisson-lognormal multivariate model and a spatial model (without cross-severity correlation), both in terms of fit and inference. Positive spatial autocorrelation emerges across neighborhoods, as expected (due to latent heterogeneity or missing variables that trend in space, resulting in spatial clustering of crash counts). In comparison, the positive aspatial, bivariate cross correlation of severe (fatal or incapacitating) and non-severe crash rates reflects latent covariates that have impacts across severity levels but are more local in nature (such as lighting conditions and local sight obstructions), along with spatially lagged cross correlation. Results also suggest greater mixing of residences and commercial land uses is associated with higher pedestrian crash risk across different severity levels, ceteris paribus, presumably since such access produces more potential conflicts between pedestrian and vehicle movements. Interestingly, network densities show variable effects, and sidewalk provision is associated with lower severe-crash rates. Copyright © 2013 Elsevier Ltd. All rights reserved.
Gani, Abdullah; Mohammadi, Kasra; Shamshirband, Shahaboddin; Khorasanizadeh, Hossein; Seyed Danesh, Amir; Piri, Jamshid; Ismail, Zuraini; Zamani, Mazdak
2016-08-01
The availability of accurate solar radiation data is essential for designing as well as simulating the solar energy systems. In this study, by employing the long-term daily measured solar data, a neural network auto-regressive model with exogenous inputs (NN-ARX) is applied to predict daily horizontal global solar radiation using day of the year as the sole input. The prime aim is to provide a convenient and precise way for rapid daily global solar radiation prediction, for the stations and their immediate surroundings with such an observation, without utilizing any meteorological-based inputs. To fulfill this, seven Iranian cities with different geographical locations and solar radiation characteristics are considered as case studies. The performance of NN-ARX is compared against the adaptive neuro-fuzzy inference system (ANFIS). The achieved results prove that day of the year-based prediction of daily global solar radiation by both NN-ARX and ANFIS models would be highly feasible owing to the accurate predictions attained. Nevertheless, the statistical analysis indicates the superiority of NN-ARX over ANFIS. In fact, the NN-ARX model represents high potential to follow the measured data favorably for all cities. For the considered cities, the attained statistical indicators of mean absolute bias error, root mean square error, and coefficient of determination for the NN-ARX models are in the ranges of 0.44-0.61 kWh/m2, 0.50-0.71 kWh/m2, and 0.78-0.91, respectively.
DEFF Research Database (Denmark)
Amado, Cristina; Teräsvirta, Timo
-run and the short-run dynamic behaviour of the volatilities. The structure of the conditional correlation matrix is assumed to be either time independent or to vary over time. We apply our model to pairs of seven daily stock returns belonging to the S&P 500 composite index and traded at the New York Stock Exchange......In this paper we investigate the effects of careful modelling the long-run dynamics of the volatilities of stock market returns on the conditional correlation structure. To this end we allow the individual unconditional variances in Conditional Correlation GARCH models to change smoothly over time....... The results suggest that accounting for deterministic changes in the unconditional variances considerably improves the fit of the multivariate Conditional Correlation GARCH models to the data. The effect of careful specification of the variance equations on the estimated correlations is variable: in some...
The Autoregressive Distributed Lag Model to Analyze Soybean Prices in Indonesia
Directory of Open Access Journals (Sweden)
Ekananda Mahjus
2018-01-01
Full Text Available The main objective of this study was to observe factors that affecting domestic soybean prices, including government intervention through BULOG. By using Bound Testing Cointegration method with ARDL approach. In the short term the world soybean price variables in the t-period and exchange rate affect the domestic soybean prices positively and significantly. The variable volume of soybean imports, GDP, and the role of BULOG as sole importer in the t-period does not affect the domestic soybean price significantly. In the long run, the t-period import tariff has a negative and significant effect.
Non-contact video-based vital sign monitoring using ambient light and auto-regressive models
International Nuclear Information System (INIS)
Tarassenko, L; Villarroel, M; Guazzi, A; Jorge, J; Clifton, D A; Pugh, C
2014-01-01
Remote sensing of the reflectance photoplethysmogram using a video camera typically positioned 1 m away from the patient’s face is a promising method for monitoring the vital signs of patients without attaching any electrodes or sensors to them. Most of the papers in the literature on non-contact vital sign monitoring report results on human volunteers in controlled environments. We have been able to obtain estimates of heart rate and respiratory rate and preliminary results on changes in oxygen saturation from double-monitored patients undergoing haemodialysis in the Oxford Kidney Unit. To achieve this, we have devised a novel method of cancelling out aliased frequency components caused by artificial light flicker, using auto-regressive (AR) modelling and pole cancellation. Secondly, we have been able to construct accurate maps of the spatial distribution of heart rate and respiratory rate information from the coefficients of the AR model. In stable sections with minimal patient motion, the mean absolute error between the camera-derived estimate of heart rate and the reference value from a pulse oximeter is similar to the mean absolute error between two pulse oximeter measurements at different sites (finger and earlobe). The activities of daily living affect the respiratory rate, but the camera-derived estimates of this parameter are at least as accurate as those derived from a thoracic expansion sensor (chest belt). During a period of obstructive sleep apnoea, we tracked changes in oxygen saturation using the ratio of normalized reflectance changes in two colour channels (red and blue), but this required calibration against the reference data from a pulse oximeter. (paper)
DEFF Research Database (Denmark)
Teräsvirta, Timo; Yang, Yukai
is illustrated by two applications. In the first one, the dynamic relationship between the US gasoline price and consumption is studied and possible asymmetries in it considered. The second application consists of modelling two well known Icelandic riverflow series, previously considered by many hydrologists...
DEFF Research Database (Denmark)
Sandberg, Rickard; Kruse, Robinson
Building upon the work of Vogelsang (1998) and Harvey and Leybourne (2007) we derive tests that are invariant to the order of integration when the null hypothesis of linearity is tested in time-varying smooth transition models. As heteroscedasticity may lead to spurious rejections of the null...
A Vector Autoregressive Model for Electricity Prices Subject to Long Memory and Regime Switching
DEFF Research Database (Denmark)
Haldrup, Niels; Nielsen, Frank; Nielsen, Morten Ørregaard
2007-01-01
A regime dependent VAR model is suggested that allows long memory (fractional integration) in each of the regime states as well as the possibility of fractional cointegra- tion. The model is relevant in describing the price dynamics of electricity prices where the transmission of power is subject...... to occasional congestion periods. For a system of bilat- eral prices non-congestion means that electricity prices are identical whereas congestion makes prices depart. Hence, the joint price dynamics implies switching between essen- tially a univariate price process under non-congestion and a bivariate price...... process under congestion. At the same time it is an empirical regularity that electricity prices tend to show a high degree of fractional integration, and thus that prices may be fractionally cointegrated. An empirical analysis using Nord Pool data shows that even though the prices strongly co-move under...
The Employment of spatial autoregressive models in predicting demand for natural gas
International Nuclear Information System (INIS)
Castro, Jorge Henrique de; Silva, Alexandre Pinto Alves da
2010-01-01
Develop the natural gas network is critical success factor for the distribution company. It is a decision that employs the demand given location 'x' and a future time 't' so that the net allows the best conditions for the return of the capital. In this segment, typical network industry, the spatial infra-structure vision associated to the market allows better evaluation of the business because to mitigate costs and risks. In fact, economic models little developed in order to assess the question of the location, due to its little employment by economists. The objective of this article is to analyze the application of spatial perspective in natural gas demand forecasting and to identify the models that can be employed observing issues of dependency and spatial heterogeneity; as well as the capacity of mapping of variables associated with the problem. (author)
Czech Academy of Sciences Publication Activity Database
Pavelková, Lenka; Jirsa, Ladislav
2017-01-01
Roč. 31, č. 8 (2017), s. 1184-1192 ISSN 0890-6327 R&D Projects: GA MŠk 7D12004 Institutional support: RVO:67985556 Keywords : approximate parameter estimation * ARX model * Bayesian estimation * bounded noise * Kullback-Leibler divergence * parallelotope Subject RIV: BC - Control Systems Theory OBOR OECD: Computer sciences, information science, bioinformathics (hardware development to be 2.2, social aspect to be 5.8) Impact factor: 1.708, year: 2016 http://library.utia.cas.cz/separaty/2017/AS/pavelkova-0472081.pdf
Assessing CO2 emissions in China’s iron and steel industry: A dynamic vector autoregression model
International Nuclear Information System (INIS)
Xu, Bin; Lin, Boqiang
2016-01-01
Highlights: • We explore the driving forces of the iron and steel industry’s CO 2 emissions in China. • Energy efficiency plays a dominant role in reducing carbon dioxide emissions. • Urbanization has significant effect on CO 2 emissions due to mass real estate construction. • The role of economic growth in reducing emissions is more important than industrialization. - Abstract: Energy saving and carbon dioxide emission reduction in China is attracting increasing attention worldwide. At present, China is in the phase of rapid urbanization and industrialization, which is characterized by rapid growth of energy consumption and carbon dioxide (CO 2 ) emissions. China’s steel industry is highly energy-consuming and pollution-intensive. Between 1980 and 2013, the carbon dioxide emissions in China’s steel industry increased approximately 11 times, with an average annual growth rate of 8%. Identifying the drivers of carbon dioxide emissions in the iron and steel industry is vital for developing effective environmental policies. This study uses Vector Autoregressive model to analyze the influencing factors of the changes in carbon dioxide emissions in the industry. The results show that energy efficiency plays a dominant role in reducing carbon dioxide emissions. Urbanization also has significant effect on CO 2 emissions because of mass urban infrastructure and real estate construction. Economic growth has more impact on emission reduction than industrialization due to the massive fixed asset investment and industrial energy optimization. These findings are important for the relevant authorities in China in developing appropriate energy policy and planning for the iron and steel industry.
Suharsono, Agus; Aziza, Auliya; Pramesti, Wara
2017-12-01
Capital markets can be an indicator of the development of a country's economy. The presence of capital markets also encourages investors to trade; therefore investors need information and knowledge of which shares are better. One way of making decisions for short-term investments is the need for modeling to forecast stock prices in the period to come. Issue of stock market-stock integration ASEAN is very important. The problem is that ASEAN does not have much time to implement one market in the economy, so it would be very interesting if there is evidence whether the capital market in the ASEAN region, especially the countries of Indonesia, Malaysia, Philippines, Singapore and Thailand deserve to be integrated or still segmented. Furthermore, it should also be known and proven What kind of integration is happening: what A capital market affects only the market Other capital, or a capital market only Influenced by other capital markets, or a Capital market as well as affecting as well Influenced by other capital markets in one ASEAN region. In this study, it will compare forecasting of Indonesian share price (IHSG) with neighboring countries (ASEAN) including developed and developing countries such as Malaysia (KLSE), Singapore (SGE), Thailand (SETI), Philippines (PSE) to find out which stock country the most superior and influential. These countries are the founders of ASEAN and share price index owners who have close relations with Indonesia in terms of trade, especially exports and imports. Stock price modeling in this research is using multivariate time series analysis that is VAR (Vector Autoregressive) and VECM (Vector Error Correction Modeling). VAR and VECM models not only predict more than one variable but also can see the interrelations between variables with each other. If the assumption of white noise is not met in the VAR modeling, then the cause can be assumed that there is an outlier. With this modeling will be able to know the pattern of relationship
Directory of Open Access Journals (Sweden)
Kyung-Jin Kim
2017-02-01
An accuracy evaluation using observations from 2002 to 2009 found that the time-lagged ensemble approach alone produced significant bias but the AR processor reduced the relative error percentage of the peak discharge from 60% to 10% and also decreased the peak timing error from more than 10 h to less than 3 h, on average. The proposed methodology is easy and inexpensive to implement with the existing products and models and thus can be immediately activated until a new product for forecasted meteorological ensembles is officially issued in Korea.
Dean, Roger T; Dunsmuir, William T M
2016-06-01
Many articles on perception, performance, psychophysiology, and neuroscience seek to relate pairs of time series through assessments of their cross-correlations. Most such series are individually autocorrelated: they do not comprise independent values. Given this situation, an unfounded reliance is often placed on cross-correlation as an indicator of relationships (e.g., referent vs. response, leading vs. following). Such cross-correlations can indicate spurious relationships, because of autocorrelation. Given these dangers, we here simulated how and why such spurious conclusions can arise, to provide an approach to resolving them. We show that when multiple pairs of series are aggregated in several different ways for a cross-correlation analysis, problems remain. Finally, even a genuine cross-correlation function does not answer key motivating questions, such as whether there are likely causal relationships between the series. Thus, we illustrate how to obtain a transfer function describing such relationships, informed by any genuine cross-correlations. We illustrate the confounds and the meaningful transfer functions by two concrete examples, one each in perception and performance, together with key elements of the R software code needed. The approach involves autocorrelation functions, the establishment of stationarity, prewhitening, the determination of cross-correlation functions, the assessment of Granger causality, and autoregressive model development. Autocorrelation also limits the interpretability of other measures of possible relationships between pairs of time series, such as mutual information. We emphasize that further complexity may be required as the appropriate analysis is pursued fully, and that causal intervention experiments will likely also be needed.
Cho, Sun-Joo; Brown-Schmidt, Sarah; Lee, Woo-Yeol
2018-02-07
As a method to ascertain person and item effects in psycholinguistics, a generalized linear mixed effect model (GLMM) with crossed random effects has met limitations in handing serial dependence across persons and items. This paper presents an autoregressive GLMM with crossed random effects that accounts for variability in lag effects across persons and items. The model is shown to be applicable to intensive binary time series eye-tracking data when researchers are interested in detecting experimental condition effects while controlling for previous responses. In addition, a simulation study shows that ignoring lag effects can lead to biased estimates and underestimated standard errors for the experimental condition effects.
Penalised Complexity Priors for Stationary Autoregressive Processes
Sørbye, Sigrunn Holbek
2017-05-25
The autoregressive (AR) process of order p(AR(p)) is a central model in time series analysis. A Bayesian approach requires the user to define a prior distribution for the coefficients of the AR(p) model. Although it is easy to write down some prior, it is not at all obvious how to understand and interpret the prior distribution, to ensure that it behaves according to the users\\' prior knowledge. In this article, we approach this problem using the recently developed ideas of penalised complexity (PC) priors. These prior have important properties like robustness and invariance to reparameterisations, as well as a clear interpretation. A PC prior is computed based on specific principles, where model component complexity is penalised in terms of deviation from simple base model formulations. In the AR(1) case, we discuss two natural base model choices, corresponding to either independence in time or no change in time. The latter case is illustrated in a survival model with possible time-dependent frailty. For higher-order processes, we propose a sequential approach, where the base model for AR(p) is the corresponding AR(p-1) model expressed using the partial autocorrelations. The properties of the new prior distribution are compared with the reference prior in a simulation study.
Directory of Open Access Journals (Sweden)
Hualin Xie
2013-12-01
Full Text Available Ecological land is one of the key resources and conditions for the survival of humans because it can provide ecosystem services and is particularly important to public health and safety. It is extremely valuable for effective ecological management to explore the evolution mechanisms of ecological land. Based on spatial statistical analyses, we explored the spatial disparities and primary potential drivers of ecological land change in the Poyang Lake Eco-economic Zone of China. The results demonstrated that the global Moran’s I value is 0.1646 during the 1990 to 2005 time period and indicated signiﬁcant positive spatial correlation (p < 0.05. The results also imply that the clustering trend of ecological land changes weakened in the study area. Some potential driving forces were identified by applying the spatial autoregressive model in this study. The results demonstrated that the higher economic development level and industrialization rate were the main drivers for the faster change of ecological land in the study area. This study also tested the superiority of the spatial autoregressive model to study the mechanisms of ecological land change by comparing it with the traditional linear regressive model.
Xie, Hualin; Liu, Zhifei; Wang, Peng; Liu, Guiying; Lu, Fucai
2013-01-01
Ecological land is one of the key resources and conditions for the survival of humans because it can provide ecosystem services and is particularly important to public health and safety. It is extremely valuable for effective ecological management to explore the evolution mechanisms of ecological land. Based on spatial statistical analyses, we explored the spatial disparities and primary potential drivers of ecological land change in the Poyang Lake Eco-economic Zone of China. The results demonstrated that the global Moran’s I value is 0.1646 during the 1990 to 2005 time period and indicated significant positive spatial correlation (p < 0.05). The results also imply that the clustering trend of ecological land changes weakened in the study area. Some potential driving forces were identified by applying the spatial autoregressive model in this study. The results demonstrated that the higher economic development level and industrialization rate were the main drivers for the faster change of ecological land in the study area. This study also tested the superiority of the spatial autoregressive model to study the mechanisms of ecological land change by comparing it with the traditional linear regressive model. PMID:24384778
on the performance of Autoregressive Moving Average Polynomial
African Journals Online (AJOL)
Timothy Ademakinwa
Using numerical example, DL, PDL, ARPDL and. ARMAPDL models were fitted. Autoregressive Moving Average Polynomial Distributed Lag Model. (ARMAPDL) model performed better than the other models. Keywords: Distributed Lag Model, Selection Criterion, Parameter Estimation, Residual Variance. ABSTRACT. 247.
Tan, Ting; Chen, Lizhang; Liu, Fuqiang
2014-11-01
To establish multiple seasonal autoregressive integrated moving average model (ARIMA) according to the hand-foot-mouth disease incidence in Changsha, and to explore the feasibility of the multiple seasonal ARIMA in predicting the hand-foot-mouth disease incidence. EVIEWS 6.0 was used to establish multiple seasonal ARIMA according to the hand-foot- mouth disease incidence from May 2008 to August 2013 in Changsha, and the data of the hand- foot-mouth disease incidence from September 2013 to February 2014 were served as the examined samples of the multiple seasonal ARIMA, then the errors were compared between the forecasted incidence and the real value. Finally, the incidence of hand-foot-mouth disease from March 2014 to August 2014 was predicted by the model. After the data sequence was handled by smooth sequence, model identification and model diagnosis, the multiple seasonal ARIMA (1, 0, 1)×(0, 1, 1)12 was established. The R2 value of the model fitting degree was 0.81, the root mean square prediction error was 8.29 and the mean absolute error was 5.83. The multiple seasonal ARIMA is a good prediction model, and the fitting degree is good. It can provide reference for the prevention and control work in hand-foot-mouth disease.
Residual Analysis of Generalized Autoregressive Integrated Moving ...
African Journals Online (AJOL)
In this study, analysis of residuals of generalized autoregressive integrated moving average bilinear time series model was considered. The adequacy of this model was based on testing the estimated residuals for whiteness. Jarque-Bera statistic and squared-residual autocorrelations were used to test the estimated ...
Nonlinear Modeling of the PEMFC Based On NNARX Approach
Shan-Jen Cheng; Te-Jen Chang; Kuang-Hsiung Tan; Shou-Ling Kuo
2015-01-01
Polymer Electrolyte Membrane Fuel Cell (PEMFC) is such a time-vary nonlinear dynamic system. The traditional linear modeling approach is hard to estimate structure correctly of PEMFC system. From this reason, this paper presents a nonlinear modeling of the PEMFC using Neural Network Auto-regressive model with eXogenous inputs (NNARX) approach. The multilayer perception (MLP) network is applied to evaluate the structure of the NNARX model of PEMFC. The validity and accurac...
DEFF Research Database (Denmark)
Li, Chunjian; Andersen, Søren Vang
2007-01-01
noise. For both models, exact EM algorithms are derived for the joint estimation of all system parameters. The exact EM algorithms are obtainable only by appropriate constraints in the model design, and have better convergence properties than algorithms employing generalized EM algorithm or empirical...... iterative schemes. The proposed methods also enjoy good data efficiency since only second order statistics is involved in the computation. When measurement noise is present, a novel Switching Kalman Smoother is incorporated into the EM algorithm, obtaining optimum nonlinear MMSE estimates of the system...
Alwee, Razana; Shamsuddin, Siti Mariyam Hj; Sallehuddin, Roselina
2013-01-01
Crimes forecasting is an important area in the field of criminology. Linear models, such as regression and econometric models, are commonly applied in crime forecasting. However, in real crimes data, it is common that the data consists of both linear and nonlinear components. A single model may not be sufficient to identify all the characteristics of the data. The purpose of this study is to introduce a hybrid model that combines support vector regression (SVR) and autoregressive integrated moving average (ARIMA) to be applied in crime rates forecasting. SVR is very robust with small training data and high-dimensional problem. Meanwhile, ARIMA has the ability to model several types of time series. However, the accuracy of the SVR model depends on values of its parameters, while ARIMA is not robust to be applied to small data sets. Therefore, to overcome this problem, particle swarm optimization is used to estimate the parameters of the SVR and ARIMA models. The proposed hybrid model is used to forecast the property crime rates of the United State based on economic indicators. The experimental results show that the proposed hybrid model is able to produce more accurate forecasting results as compared to the individual models.
International Nuclear Information System (INIS)
Murase, Kenya; Yamazaki, Youichi; Shinohara, Masaaki
2003-01-01
The purpose of this study was to investigate the feasibility of the autoregressive moving average (ARMA) model for quantification of cerebral blood flow (CBF) with dynamic susceptibility contrast-enhanced magnetic resonance imaging (DSC-MRI) in comparison with deconvolution analysis based on singular value decomposition (DA-SVD). Using computer simulations, we generated a time-dependent concentration of the contrast agent in the volume of interest (VOI) from the arterial input function (AIF) modeled as a gamma-variate function under various CBFs, cerebral blood volumes and signal-to-noise ratios (SNRs) for three different types of residue function (exponential, triangular, and box-shaped). We also considered the effects of delay and dispersion in AIF. The ARMA model and DA-SVD were used to estimate CBF values from the simulated concentration-time curves in the VOI and AIFs, and the estimated values were compared with the assumed values. We found that the CBF value estimated by the ARMA model was more sensitive to the SNR and the delay in AIF than that obtained by DA-SVD. Although the ARMA model considerably overestimated CBF at low SNRs, it estimated the CBF more accurately than did DA-SVD at high SNRs for the exponential or triangular residue function. We believe this study will contribute to an understanding of the usefulness and limitations of the ARMA model when applied to quantification of CBF with DSC-MRI. (author)
Directory of Open Access Journals (Sweden)
Juan D Velásquez
2008-12-01
Full Text Available Una red neuronal autorregresiva es estimada para el precio mensual brasileño de corto plazo de la electricidad, la cual describe mejor la dinámica de los precios que un modelo lineal autorregresivo y que un perceptrón multicapa clásico que usan las mismas entradas y neuronas en la capa oculta. El modelo propuesto es especificado usando un procedimiento estadístico basado en el contraste del radio de verosimilitud. El modelo pasa una batería de pruebas de diagnóstico. El procedimiento de especificación propuesto permite seleccionar el número de unidades en la capa oculta y las entradas a la red neuronal, usando pruebas estadísticas que tienen en cuenta la cantidad de los datos y el ajuste del modelo a la serie de precios. La especificación del modelo final demuestra que el precio para el próximo mes es una función no lineal del precio actual, de la energía afluente actual y de la energía almacenada en el embalse equivalente en el mes actual y dos meses atrás.An autoregressive neural network model is estimated for the monthly Brazilian electricity spot price, which describes the prices dynamics better than a linear autoregressive model and a classical multilayer perceptron using the same input and neurons in the hidden layer. The proposed model is specified using a statistical procedure based on a likelihood ratio test. The model passes a battery of diagnostic tests. The proposed specification procedure allows us to select the number of units in hidden layer and the inputs to the neural network based on statistical tests, taking into account the number of data and the model fitting to the price time series. The final model specification demonstrates that the price for the next month is a nonlinear function of the current price, the current energy inflow, and the energy saved in the equivalent reservoir in the current month and two months ago.
Directory of Open Access Journals (Sweden)
Wudi Wei
Full Text Available Hepatitis is a serious public health problem with increasing cases and property damage in Heng County. It is necessary to develop a model to predict the hepatitis epidemic that could be useful for preventing this disease.The autoregressive integrated moving average (ARIMA model and the generalized regression neural network (GRNN model were used to fit the incidence data from the Heng County CDC (Center for Disease Control and Prevention from January 2005 to December 2012. Then, the ARIMA-GRNN hybrid model was developed. The incidence data from January 2013 to December 2013 were used to validate the models. Several parameters, including mean absolute error (MAE, root mean square error (RMSE, mean absolute percentage error (MAPE and mean square error (MSE, were used to compare the performance among the three models.The morbidity of hepatitis from Jan 2005 to Dec 2012 has seasonal variation and slightly rising trend. The ARIMA(0,1,2(1,1,112 model was the most appropriate one with the residual test showing a white noise sequence. The smoothing factor of the basic GRNN model and the combined model was 1.8 and 0.07, respectively. The four parameters of the hybrid model were lower than those of the two single models in the validation. The parameters values of the GRNN model were the lowest in the fitting of the three models.The hybrid ARIMA-GRNN model showed better hepatitis incidence forecasting in Heng County than the single ARIMA model and the basic GRNN model. It is a potential decision-supportive tool for controlling hepatitis in Heng County.
Wei, Wudi; Jiang, Junjun; Liang, Hao; Gao, Lian; Liang, Bingyu; Huang, Jiegang; Zang, Ning; Liao, Yanyan; Yu, Jun; Lai, Jingzhen; Qin, Fengxiang; Su, Jinming; Ye, Li; Chen, Hui
2016-01-01
Hepatitis is a serious public health problem with increasing cases and property damage in Heng County. It is necessary to develop a model to predict the hepatitis epidemic that could be useful for preventing this disease. The autoregressive integrated moving average (ARIMA) model and the generalized regression neural network (GRNN) model were used to fit the incidence data from the Heng County CDC (Center for Disease Control and Prevention) from January 2005 to December 2012. Then, the ARIMA-GRNN hybrid model was developed. The incidence data from January 2013 to December 2013 were used to validate the models. Several parameters, including mean absolute error (MAE), root mean square error (RMSE), mean absolute percentage error (MAPE) and mean square error (MSE), were used to compare the performance among the three models. The morbidity of hepatitis from Jan 2005 to Dec 2012 has seasonal variation and slightly rising trend. The ARIMA(0,1,2)(1,1,1)12 model was the most appropriate one with the residual test showing a white noise sequence. The smoothing factor of the basic GRNN model and the combined model was 1.8 and 0.07, respectively. The four parameters of the hybrid model were lower than those of the two single models in the validation. The parameters values of the GRNN model were the lowest in the fitting of the three models. The hybrid ARIMA-GRNN model showed better hepatitis incidence forecasting in Heng County than the single ARIMA model and the basic GRNN model. It is a potential decision-supportive tool for controlling hepatitis in Heng County.
Estimation of Time Varying Autoregressive Symmetric Alpha Stable
National Aeronautics and Space Administration — In this work, we present a novel method for modeling time-varying autoregressive impulsive signals driven by symmetric alpha stable distributions. The proposed...
Directory of Open Access Journals (Sweden)
VIAN RISKA AYUNING TYAS
2014-08-01
Full Text Available The Arbitrage Pricing Theory (APT is an alternative model to estimate the price of securities based of arbitrage concept. In APT, the returns of securities are affected by several factors. This research is aimed to estimate the expected returns of securities using APT model and Vector Autoregressive model. There are ten stocks incorporated in Kompas100 index and four macroeconomic variables, these are inflation, exchange rates, the amountof circulate money (JUB, and theinterest rateof Bank Indonesia(SBI are applied in this research. The first step in using VAR is to test the stationary of the data using colerogram and the results indicate that all data are stationary. The second step is to select the optimal lag based on the smallest value of AIC. The Granger causality test shows that the LPKR stock is affected by the inflation and the exchange rate while the nine other stocks do not show the existence of the expected causality. The results of causality test are then estimated by the VAR models in order to obtain expected returnof macroeconomic factors. The expected return of macroeconomic factors obtained is used in the APT model, then the expected return stock LPKR is calculated. It shows that the expected return of LPKR is 3,340%
Energy Technology Data Exchange (ETDEWEB)
Biyanto, Totok R. [Department of Engineering Physics, Institute Technology of Sepuluh Nopember Surabaya, Surabaya, Indonesia 60111 (Indonesia)
2016-06-03
Fouling in a heat exchanger in Crude Preheat Train (CPT) refinery is an unsolved problem that reduces the plant efficiency, increases fuel consumption and CO{sub 2} emission. The fouling resistance behavior is very complex. It is difficult to develop a model using first principle equation to predict the fouling resistance due to different operating conditions and different crude blends. In this paper, Artificial Neural Networks (ANN) MultiLayer Perceptron (MLP) with input structure using Nonlinear Auto-Regressive with eXogenous (NARX) is utilized to build the fouling resistance model in shell and tube heat exchanger (STHX). The input data of the model are flow rates and temperatures of the streams of the heat exchanger, physical properties of product and crude blend data. This model serves as a predicting tool to optimize operating conditions and preventive maintenance of STHX. The results show that the model can capture the complexity of fouling characteristics in heat exchanger due to thermodynamic conditions and variations in crude oil properties (blends). It was found that the Root Mean Square Error (RMSE) are suitable to capture the nonlinearity and complexity of the STHX fouling resistance during phases of training and validation.
Ichiji, K; Homma, N; Sakai, M; Narita, Y; Takai, Y; Yoshizawa, M
2012-06-01
Real-time tumor position/shape measurement and dynamic beam tracking techniques allow accurate and continuous irradiation to moving tumor, but there can be a delay of several hundred milliseconds between observation and irradiation. A time-variant seasonal autoregressive (TVSAR) model has been proposed for compensating the delay by predicting respiratory tumor motion with sub-millimeter accuracy for a second latency. This is the-state-of-the-art model for almost regular breathing prediction so far. In this study, we propose an extended prediction method based on TVSAR to be usable for various breathing patterns, by predicting the residual component obtained from conventional TVSAR. An essential core of the method is to take into account the residual component that is not predictable by only TVSAR. The residual component involves baseline shift, amplitude variation, and so on. In this study, the time series of the residual obtained for every new sample are predicted by using autoregressive (AR) model. The order and parameters of the AR model is adaptively determined for each residual component by using an information criterion. Eleven data sets of 3-D lung tumor motion, observed at Georgetown University Hospital by using Cyberknife Synchrony system, were used for evaluation of the prediction performance. Experimental results indicated that the proposed method is superior to those of conventional and the state-of-the-art methods for 0 to 1 s ahead prediction. The average prediction error of the proposed method was 0.920 plus/minus 0.348 mm for 0.5 s forward prediction. We have developed the new prediction method based on TVSAR model with adaptive residual prediction. The new method can predict various respiratory motions including not only regular but also a variety of irregular breathing patterns and thus can compensate the bad effect of the delay in dynamic irradiation system for moving tumor tracking. A part of this work has been financially supported by Varian
International Nuclear Information System (INIS)
Liu, Yaobin
2009-01-01
The paper develops a function of energy consumption, population growth, economic growth and urbanization process, and provides fresh empirical evidences for urbanization and energy consumption for China over the period 1978-2008 through the use of ARDL testing approach and factor decomposition model. The results of the bounds test show that there is a stable long run relationship amongst total energy consumption, population, GDP (Gross domestic product) and urbanization level when total energy consumption is the dependent variable in China. The results of the causality test with ECM (error correction model) specification, the short run and long run dynamics of the interested variables are tested, indicating that there exists only a unidirectional Granger causality running from urbanization to total energy consumption both in the long run and in the short run. At present, the contribution share which urbanization drags the energy consumption is smaller than that in the past, and the intensity holds a downward trend. Therefore, together with enhancing energy efficiency, accelerating the urbanization process that can cut reliance on resource and energy dependent industries is a fundamental strategy to solve the sustainable development dilemma between energy consumption and urbanization.
Energy Technology Data Exchange (ETDEWEB)
Liu, Yaobin [Research Center of the Central China Economic Development, Nanchang University, Nanchang 330047 (China)
2009-11-15
The paper develops a function of energy consumption, population growth, economic growth and urbanization process, and provides fresh empirical evidences for urbanization and energy consumption for China over the period 1978-2008 through the use of ARDL testing approach and factor decomposition model. The results of the bounds test show that there is a stable long run relationship amongst total energy consumption, population, GDP (Gross domestic product) and urbanization level when total energy consumption is the dependent variable in China. The results of the causality test with ECM (error correction model) specification, the short run and long run dynamics of the interested variables are tested, indicating that there exists only a unidirectional Granger causality running from urbanization to total energy consumption both in the long run and in the short run. At present, the contribution share which urbanization drags the energy consumption is smaller than that in the past, and the intensity holds a downward trend. Therefore, together with enhancing energy efficiency, accelerating the urbanization process that can cut reliance on resource and energy dependent industries is a fundamental strategy to solve the sustainable development dilemma between energy consumption and urbanization. (author)
Cai, Jiji; Jung, Cheolkon
2017-09-01
We propose image-guided depth propagation for two-dimensional (2-D)-to-three-dimensional (3-D) video conversion using superpixel matching and the adaptive autoregressive (AR) model. We adopt key frame-based depth propagation that propagates the depth map in the key frame to nonkey frames. Moreover, we use the adaptive AR model for depth refinement to penalize depth-color inconsistency. First, we perform superpixel matching to estimate motion vectors at the superpixel level instead of block matching based on the fixed block size. Then, we conduct depth compensation based on motion vectors to generate the depth map in the nonkey frame. However, the size of two superpixels is not exactly the same due to the segment-based matching, which causes matching errors in the compensated depth map. Thus, we introduce an adaptive image-guided AR model to minimize matching errors and produce the final depth map by minimizing AR prediction errors. Finally, we employ depth-image-based rendering to generate stereoscopic views from 2-D videos and their depth maps. Experimental results demonstrate that the proposed method successfully performs depth propagation and produces high-quality depth maps for 2-D-to-3-D video conversion.
Directory of Open Access Journals (Sweden)
Naohiro Nakamura
2017-12-01
Full Text Available Many seismic records were obtained during the 2011 off the Pacific coast of Tohoku earthquake. These records can be used to improve the seismic design and disaster prevention capabilities of buildings. In this paper, seismic simulation analyses of a steel-reinforced concrete high-rise building located in the Tokyo Bay area are conducted based on the seismic record of the Tohoku earthquake. A non-linear sway-rocking model is used in the analysis, and comparisons are drawn between the observed records and analytical results of the pre-shock, main shock, and earthquake after 1 month. The analytical results correspond well with the seismic records, and the effect of the non-linear nature of the main shock is retained in the building. This is an important consideration when conducting response evaluation. An auto-regressive exogenous model is used to identify the first and second natural periods, and the damping ratios, of both the records and the analytical results. Although the first and second damping ratios are similar in value to the observed results, the second damping ratio is overestimated in the analytical results because of the stiffness damping model.
Hybrid approaches to physiologic modeling and prediction
Olengü, Nicholas O.; Reifman, Jaques
2005-05-01
This paper explores how the accuracy of a first-principles physiological model can be enhanced by integrating data-driven, "black-box" models with the original model to form a "hybrid" model system. Both linear (autoregressive) and nonlinear (neural network) data-driven techniques are separately combined with a first-principles model to predict human body core temperature. Rectal core temperature data from nine volunteers, subject to four 30/10-minute cycles of moderate exercise/rest regimen in both CONTROL and HUMID environmental conditions, are used to develop and test the approach. The results show significant improvements in prediction accuracy, with average improvements of up to 30% for prediction horizons of 20 minutes. The models developed from one subject's data are also used in the prediction of another subject's core temperature. Initial results for this approach for a 20-minute horizon show no significant improvement over the first-principles model by itself.
Feng, Yongjiu; Chen, Xinjun; Liu, Yang
2017-09-01
The spatiotemporal distribution and relationship between nominal catch-per-unit-effort (CPUE) and environment for the jumbo flying squid (Dosidicus gigas) were examined in offshore Peruvian waters during 2009-2013. Three typical oceanographic factors affecting the squid habitat were investigated in this research, including sea surface temperature (SST), sea surface salinity (SSS) and sea surface height (SSH). We studied the CPUE-environment relationships for D. gigas using a spatially-lagged version of spatial autoregressive (SAR) model and a generalized additive model (GAM), with the latter for auxiliary and comparative purposes. The annual fishery centroids were distributed broadly in an area bounded by 79.5°-82.7°W and 11.9°-17.1°S, while the monthly fishery centroids were spatially close and lay in a smaller area bounded by 81.0°-81.2°W and 14.3°-15.4°S. Our results show that the preferred environmental ranges for D. gigas offshore Peru were 20.9°-21.9°C for SST, 35.16-35.32 for SSS and 27.2-31.5 cm for SSH in the areas bounded by 78°-80°W/82-84°W and 15°-18°S. Monthly spatial distributions during October to December were predicted using the calibrated GAM and SAR models and general similarities were found between the observed and predicted patterns for the nominal CPUE of D. gigas. The overall accuracies for the hotspots generated by the SAR model were much higher than those produced by the GAM model for all three months. Our results contribute to a better understanding of the spatiotemporal distributions of D. gigas offshore Peru, and offer a new SAR modeling method for advancing fishery science.
Bose, Eliezer; Hravnak, Marilyn; Sereika, Susan M
Patients undergoing continuous vital sign monitoring (heart rate [HR], respiratory rate [RR], pulse oximetry [SpO2]) in real time display interrelated vital sign changes during situations of physiological stress. Patterns in this physiological cross-talk could portend impending cardiorespiratory instability (CRI). Vector autoregressive (VAR) modeling with Granger causality tests is one of the most flexible ways to elucidate underlying causal mechanisms in time series data. The purpose of this article is to illustrate the development of patient-specific VAR models using vital sign time series data in a sample of acutely ill, monitored, step-down unit patients and determine their Granger causal dynamics prior to onset of an incident CRI. CRI was defined as vital signs beyond stipulated normality thresholds (HR = 40-140/minute, RR = 8-36/minute, SpO2 change in RR caused change in HR (21%; i.e., RR changed before HR changed) more often than change in HR causing change in RR (15%). Similarly, changes in RR caused changes in SpO2 (15%) more often than changes in SpO2 caused changes in RR (9%). For HR and SpO2, changes in HR causing changes in SpO2 and changes in SpO2 causing changes in HR occurred with equal frequency (18%). Within this sample of acutely ill patients who experienced a CRI event, VAR modeling indicated that RR changes tend to occur before changes in HR and SpO2. These findings suggest that contextual assessment of RR changes as the earliest sign of CRI is warranted. Use of VAR modeling may be helpful in other nursing research applications based on time series data.
Sugiyanto; Zukhronah, Etik; Susanti, Yuliana; Rahma Dwi, Sisca
2017-06-01
A country is said to be a crisis when the financial system is experiencing a disruption that affects systems that can not function efficiently. The performance efficiency of macroeconomic indicators especially in imports and exports can be used to detect the financial crisis in Indonesia. Based on the import and export indicators from 1987 to 2015, the movement of these indicators can be modelled using SWARCH three states. The results showed that SWARCH (3,1) model was able to detect the crisis that occurred in Indonesia in 1997 and 2008. Using this model, it can be concluded that Indonesia is prone to financial crisis in 2016.
International Nuclear Information System (INIS)
Jafri, Y.Z.; Kamal, L.
2009-01-01
A generalized theory of ARMA modeling, covering a wide range of researches. with model identification, order determination, estimation and diagnostic checking is presented. We evolved standardization of wind data to overcome non-stationarity. With our techniques on generating synthetic values of wind series using MTM, we modeled and simulated autocorrelated function (ACF). MTM is found relatively a better simulator as compared to ARMA. We used twenty year of wind data. MTM required fast computation and suitable algorithm for backward calculations to yield ACF values. We found ARMA (p, q) model suitableble for both large range (1-6 hours) and short range (1-2 hours). This indicates that forecast values can be considered for appropriate wind energy conversion system. (author)
The Prediction of Exchange Rates with the Use of Auto-Regressive Integrated Moving-Average Models
Directory of Open Access Journals (Sweden)
Daniela Spiesová
2014-10-01
Full Text Available Currency market is recently the largest world market during the existence of which there have been many theories regarding the prediction of the development of exchange rates based on macroeconomic, microeconomic, statistic and other models. The aim of this paper is to identify the adequate model for the prediction of non-stationary time series of exchange rates and then use this model to predict the trend of the development of European currencies against Euro. The uniqueness of this paper is in the fact that there are many expert studies dealing with the prediction of the currency pairs rates of the American dollar with other currency but there is only a limited number of scientific studies concerned with the long-term prediction of European currencies with the help of the integrated ARMA models even though the development of exchange rates has a crucial impact on all levels of economy and its prediction is an important indicator for individual countries, banks, companies and businessmen as well as for investors. The results of this study confirm that to predict the conditional variance and then to estimate the future values of exchange rates, it is adequate to use the ARIMA (1,1,1 model without constant, or ARIMA [(1,7,1,(1,7] model, where in the long-term, the square root of the conditional variance inclines towards stable value.
DEFF Research Database (Denmark)
Zhao, Yongning; Ye, Lin; Pinson, Pierre
2018-01-01
and forecasting, the original SC-VAR is modiﬁed and a Correlation-Constrained SC-VAR (CCSC-VAR) is proposed based on spatial correlation information about wind farms. Our approach is evaluated based on a case study of very-short-term forecasting for 25 wind farms in Denmark. Comparison is performed with a set...... of traditional local methods and spatio-temporal methods. The results obtained show the proposed CCSC-VAR has better overall performance than both the original SC-VAR and other benchmark methods, taking into account all evaluation indicators, including sparsitycontrol ability, sparsity, accuracy and efﬁciency...
Energy Technology Data Exchange (ETDEWEB)
Castillo D, R.; Ortiz V, J.; Ruiz E, J.A. [ININ, 52750 La Marquesa, Estado de Mexico (Mexico)
2008-07-01
The method of the response to the impulse of an autoregressive model for stability analysis of the nuclear boiling water reactors had one of the best behaviors in a range of stable operation conditions to quasi stables during the benchmark of stability of the Forsmark reactors. The method was developed in Mat lab and it uses the Gauss-Newton optimization method for to carry out the adjustment from the response to the impulse. In this work a program in Fortran of the response method to the impulse of an autoregressive model it was developed, which uses an adaptive optimization algorithm called NL2SOL, instead of the original method. This change is due that Gauss-Newton method doesn't converge in some cases to the best adjustment parameters for what the method has been substituted in the more recent Mat lab versions. Among the main obtained results it has that the programmed autoregressive model converges to a smaller order that the original method and while less stable is the reactor it is more big the difference in the order. Also was found an important difference in the first adjustment parameter being caused by the response magnitude to the impulse. As to for the decay ratio and oscillation frequency both programs presented acceptable results. (Author)
International Nuclear Information System (INIS)
Gloeckler, O.; Upadhyaya, B.R.
1987-01-01
Multivariate noise analysis of power reactor operating signals is useful for plant diagnostics, for isolating process and sensor anomalies, and for automated plant monitoring. In order to develop a reliable procedure, the previously established techniques for empirical modeling of fluctuation signals in power reactors have been improved. Application of the complete algorithm to operational data from the Loss-of-Fluid-Test (LOFT) Reactor showed that earlier conjectures (based on physical modeling) regarding the perturbation sources in a Pressurized Water Reactor (PWR) affecting coolant temperature and neutron power fluctuations can be systematically explained. This advanced methodology has important implication regarding plant diagnostics, and system or sensor anomaly isolation. 6 refs., 24 figs
Directory of Open Access Journals (Sweden)
Athenia Bongani Sibindi
2014-12-01
Full Text Available The life insurance sector may contribute to economic growth by its very mechanism of savings mobilisation and thereby performing an intermediation role in the economy. This ensures that capital is provided to deficient units who are in need of capital to finance their working capital requirements and invest in technology thereby resulting in an increase in output. In this way, it could be argued that life insurance development spurs financial development. In this article we investigate the causal relationship between the life insurance sector, financial development and economic growth in South Africa for the period 1990 to 2012 by applying the ARDL bounds testing procedure. We make use of life insurance density as the proxy for life insurance development, real per capita growth domestic product as the proxy for economic growth and real broad money per capita as the proxy for financial development. We test for cointegration amongst the variables by applying the bounds test and then proceed to test for Granger causality based on the error correction model. Our results confirm that the variables are cointegrated and move in tandem to each other in the long-run. The results also indicate that the direction of causality runs from the economy to the life insurance sector in the short-run which is consistent with the “demand-following” insurance-growth hypothesis. There is also evidence of bidirectional Granger causality running from the economy to financial development and vice versa, both in the long-run and short-run. The results also reveal that life insurance complements financial development in bringing about economic growth further lending credence to the “complementarity” hypothesis
Xiloyannis, Michele; Gavriel, Constantinos; Thomik, Andreas A C; Faisal, A Aldo
2017-10-01
Matching the dexterity, versatility, and robustness of the human hand is still an unachieved goal in bionics, robotics, and neural engineering. A major limitation for hand prosthetics lies in the challenges of reliably decoding user intention from muscle signals when controlling complex robotic hands. Most of the commercially available prosthetic hands use muscle-related signals to decode a finite number of predefined motions and some offer proportional control of open/close movements of the whole hand. Here, in contrast, we aim to offer users flexible control of individual joints of their artificial hand. We propose a novel framework for decoding neural information that enables a user to independently control 11 joints of the hand in a continuous manner-much like we control our natural hands. Toward this end, we instructed six able-bodied subjects to perform everyday object manipulation tasks combining both dynamic, free movements (e.g., grasping) and isometric force tasks (e.g., squeezing). We recorded the electromyographic and mechanomyographic activities of five extrinsic muscles of the hand in the forearm, while simultaneously monitoring 11 joints of hand and fingers using a sensorized data glove that tracked the joints of the hand. Instead of learning just a direct mapping from current muscle activity to intended hand movement, we formulated a novel autoregressive approach that combines the context of previous hand movements with instantaneous muscle activity to predict future hand movements. Specifically, we evaluated a linear vector autoregressive moving average model with exogenous inputs and a novel Gaussian process ( ) autoregressive framework to learn the continuous mapping from hand joint dynamics and muscle activity to decode intended hand movement. Our approach achieves high levels of performance (RMSE of 8°/s and ). Crucially, we use a small set of sensors that allows us to control a larger set of independently actuated degrees of freedom of a hand
African Journals Online (AJOL)
2017-09-10
Sep 10, 2017 ... nts a comparison between the Binary Artificial Bee Colony (BABC warm Optimization (BPSO) algorithm for structure selection of a Non. Model (NAR) of the chaotic Mackey-Glass time-series data. Both s rithms are swarm-based in nature with BABC mimicking bee coloni the swarming behavior of birds.
Kepler AutoRegressive Planet Search
Feigelson, Eric
NASA's Kepler mission is the source of more exoplanets than any other instrument, but the discovery depends on complex statistical analysis procedures embedded in the Kepler pipeline. A particular challenge is mitigating irregular stellar variability without loss of sensitivity to faint periodic planetary transits. This proposal presents a two-stage alternative analysis procedure. First, parametric autoregressive ARFIMA models, commonly used in econometrics, remove most of the stellar variations. Second, a novel matched filter is used to create a periodogram from which transit-like periodicities are identified. This analysis procedure, the Kepler AutoRegressive Planet Search (KARPS), is confirming most of the Kepler Objects of Interest and is expected to identify additional planetary candidates. The proposed research will complete application of the KARPS methodology to the prime Kepler mission light curves of 200,000: stars, and compare the results with Kepler Objects of Interest obtained with the Kepler pipeline. We will then conduct a variety of astronomical studies based on the KARPS results. Important subsamples will be extracted including Habitable Zone planets, hot super-Earths, grazing-transit hot Jupiters, and multi-planet systems. Groundbased spectroscopy of poorly studied candidates will be performed to better characterize the host stars. Studies of stellar variability will then be pursued based on KARPS analysis. The autocorrelation function and nonstationarity measures will be used to identify spotted stars at different stages of autoregressive modeling. Periodic variables with folded light curves inconsistent with planetary transits will be identified; they may be eclipsing or mutually-illuminating binary star systems. Classification of stellar variables with KARPS-derived statistical properties will be attempted. KARPS procedures will then be applied to archived K2 data to identify planetary transits and characterize stellar variability.
Crime Modeling using Spatial Regression Approach
Saleh Ahmar, Ansari; Adiatma; Kasim Aidid, M.
2018-01-01
Act of criminality in Indonesia increased both variety and quantity every year. As murder, rape, assault, vandalism, theft, fraud, fencing, and other cases that make people feel unsafe. Risk of society exposed to crime is the number of reported cases in the police institution. The higher of the number of reporter to the police institution then the number of crime in the region is increasing. In this research, modeling criminality in South Sulawesi, Indonesia with the dependent variable used is the society exposed to the risk of crime. Modelling done by area approach is the using Spatial Autoregressive (SAR) and Spatial Error Model (SEM) methods. The independent variable used is the population density, the number of poor population, GDP per capita, unemployment and the human development index (HDI). Based on the analysis using spatial regression can be shown that there are no dependencies spatial both lag or errors in South Sulawesi.
Directory of Open Access Journals (Sweden)
João Domingos Scalon
2010-07-01
Full Text Available The dairy yield is one of the most important activities for the Brazilian economy and the use of statistical models may improve the decision making in this productive sector. The aim of this paper was to compare the performance of both the traditional linear regression model and the spatial regression model called conditional autoregressive (CAR to explain how some covariates may contribute for the dairy yield. This work used a database on dairy yield supplied by the Brazilian Institute of Geography and Statistics (IBGE and another database on geographical information of the state of Minas Gerais provided by the Integrated Program of Technological Use of Geographical Information (GEOMINAS. The results showed the superiority of the CAR model over the traditional linear regression model to explain the dairy yield. The CAR model allowed the identification of two different spatial clusters of counties related to the dairy yield in the state of Minas Gerais. The first cluster represents the region where one observes the biggest levels of dairy yield. It is formed by the counties of the Triângulo Mineiro. The second cluster is formed by the northern counties of the state that present the lesser levels of dairy yield. A produção de leite é uma das atividades mais importantes para a economia brasileira e o uso de modelos estatísticos pode auxiliar a tomada de decisão neste setor produtivo. O objetivo deste artigo foi comparar o desempenho do modelo de regressão linear tradicional e do modelo de regressão espacial, denominado de autoregressivo condicional (CAR, para explicar como algumas variáveis preditoras contribuem para a quantidade de leite produzido. Este trabalho usou uma base de dados sobre a produção de leite fornecida pelo Instituto Brasileiro de Geografia e Estatística (IBGE e outra base de dados sobre informações geográficas do estado de Minas Gerais, fornecida pelo Programa Integrado de Uso da Tecnologia de Geoprocessamento
Kepler AutoRegressive Planet Search
Caceres, Gabriel Antonio; Feigelson, Eric
2016-01-01
The Kepler AutoRegressive Planet Search (KARPS) project uses statistical methodology associated with autoregressive (AR) processes to model Kepler lightcurves in order to improve exoplanet transit detection in systems with high stellar variability. We also introduce a planet-search algorithm to detect transits in time-series residuals after application of the AR models. One of the main obstacles in detecting faint planetary transits is the intrinsic stellar variability of the host star. The variability displayed by many stars may have autoregressive properties, wherein later flux values are correlated with previous ones in some manner. Our analysis procedure consisting of three steps: pre-processing of the data to remove discontinuities, gaps and outliers; AR-type model selection and fitting; and transit signal search of the residuals using a new Transit Comb Filter (TCF) that replaces traditional box-finding algorithms. The analysis procedures of the project are applied to a portion of the publicly available Kepler light curve data for the full 4-year mission duration. Tests of the methods have been made on a subset of Kepler Objects of Interest (KOI) systems, classified both as planetary `candidates' and `false positives' by the Kepler Team, as well as a random sample of unclassified systems. We find that the ARMA-type modeling successfully reduces the stellar variability, by a factor of 10 or more in active stars and by smaller factors in more quiescent stars. A typical quiescent Kepler star has an interquartile range (IQR) of ~10 e-/sec, which may improve slightly after modeling, while those with IQR ranging from 20 to 50 e-/sec, have improvements from 20% up to 70%. High activity stars (IQR exceeding 100) markedly improve. A periodogram based on the TCF is constructed to concentrate the signal of these periodic spikes. When a periodic transit is found, the model is displayed on a standard period-folded averaged light curve. Our findings to date on real
Automating Vector Autoregression on Electronic Patient Diary Data
Emerencia, Ando Celino; van der Krieke, Lian; Bos, Elisabeth H.; de Jonge, Peter; Petkov, Nicolai; Aiello, Marco
Finding the best vector autoregression model for any dataset, medical or otherwise, is a process that, to this day, is frequently performed manually in an iterative manner requiring a statistical expertize and time. Very few software solutions for automating this process exist, and they still
Stable Parameter Estimation for Autoregressive Equations with Random Coefficients
Directory of Open Access Journals (Sweden)
V. B. Goryainov
2014-01-01
Full Text Available In recent yearsthere has been a growing interest in non-linear time series models. They are more flexible than traditional linear models and allow more adequate description of real data. Among these models a autoregressive model with random coefficients plays an important role. It is widely used in various fields of science and technology, for example, in physics, biology, economics and finance. The model parameters are the mean values of autoregressive coefficients. Their evaluation is the main task of model identification. The basic method of estimation is still the least squares method, which gives good results for Gaussian time series, but it is quite sensitive to even small disturbancesin the assumption of Gaussian observations. In this paper we propose estimates, which generalize the least squares estimate in the sense that the quadratic objective function is replaced by an arbitrary convex and even function. Reasonable choice of objective function allows you to keep the benefits of the least squares estimate and eliminate its shortcomings. In particular, you can make it so that they will be almost as effective as the least squares estimate in the Gaussian case, but almost never loose in accuracy with small deviations of the probability distribution of the observations from the Gaussian distribution.The main result is the proof of consistency and asymptotic normality of the proposed estimates in the particular case of the one-parameter model describing the stationary process with finite variance. Another important result is the finding of the asymptotic relative efficiency of the proposed estimates in relation to the least squares estimate. This allows you to compare the two estimates, depending on the probability distribution of innovation process and of autoregressive coefficients. The results can be used to identify an autoregressive process, especially with nonGaussian nature, and/or of autoregressive processes observed with gross
ANALYSIS OF ROLLING GROUP THERAPY DATA USING CONDITIONALLY AUTOREGRESSIVE PRIORS.
Paddock, Susan M; Hunter, Sarah B; Watkins, Katherine E; McCaffrey, Daniel F
2011-06-01
Group therapy is a central treatment modality for behavioral health disorders such as alcohol and other drug use (AOD) and depression. Group therapy is often delivered under a rolling (or open) admissions policy, where new clients are continuously enrolled into a group as space permits. Rolling admissions policies result in a complex correlation structure among client outcomes. Despite the ubiquity of rolling admissions in practice, little guidance on the analysis of such data is available. We discuss the limitations of previously proposed approaches in the context of a study that delivered group cognitive behavioral therapy for depression to clients in residential substance abuse treatment. We improve upon previous rolling group analytic approaches by fully modeling the interrelatedness of client depressive symptom scores using a hierarchical Bayesian model that assumes a conditionally autoregressive prior for session-level random effects. We demonstrate improved performance using our method for estimating the variance of model parameters and the enhanced ability to learn about the complex correlation structure among participants in rolling therapy groups. Our approach broadly applies to any group therapy setting where groups have changing client composition. It will lead to more efficient analyses of client-level data and improve the group therapy research community's ability to understand how the dynamics of rolling groups lead to client outcomes.
Speech Segmentation Using Bayesian Autoregressive Changepoint Detector
Directory of Open Access Journals (Sweden)
P. Sovka
1998-12-01
Full Text Available This submission is devoted to the study of the Bayesian autoregressive changepoint detector (BCD and its use for speech segmentation. Results of the detector application to autoregressive signals as well as to real speech are given. BCD basic properties are described and discussed. The novel two-step algorithm consisting of cepstral analysis and BCD for automatic speech segmentation is suggested.
Lee, Cameron C.; Sheridan, Scott C.; Barnes, Brian B.; Hu, Chuanmin; Pirhalla, Douglas E.; Ransibrahmanakul, Varis; Shein, Karsten
2017-10-01
The coastal waters of the southeastern USA contain important protected habitats and natural resources that are vulnerable to climate variability and singular weather events. Water clarity, strongly affected by atmospheric events, is linked to substantial environmental impacts throughout the region. To assess this relationship over the long-term, this study uses an artificial neural network-based time series modeling technique known as non-linear autoregressive models with exogenous input (NARX models) to explore the relationship between climate and a water clarity index (KDI) in this area and to reconstruct this index over a 66-year period. Results show that synoptic-scale circulation patterns, weather types, and precipitation all play roles in impacting water clarity to varying degrees in each region of the larger domain. In particular, turbid water is associated with transitional weather and cyclonic circulation in much of the study region. Overall, NARX model performance also varies—regionally, seasonally and interannually—with wintertime estimates of KDI along the West Florida Shelf correlating to the actual KDI at r > 0.70. Periods of extreme (high) KDI in this area coincide with notable El Niño events. An upward trend in extreme KDI events from 1948 to 2013 is also present across much of the Florida Gulf coast.
The Monetary Model of Exchange Rate: Evidence from the Philippines Using ARDL Approach
Sovannroeun SAMRETH; Dara LONG
2008-01-01
In this paper, we re-examine the validity of both short and long run monetary models of exchange rate for the case of the Philippines by using new approach called Autoregressive Distributed Lag (ARDL) to cointegration. From our analysis, some findings are obtained. First, there are robust short and long run relationships between variables in the monetary exchange rate model. Second, the stability of the estimated parameters is confirmed by CUSUM and CUMSUQ stability tests. Third, the Purchasi...
Energy Technology Data Exchange (ETDEWEB)
Yamamoto, H.; Saito, T. [Iwate University, Iwate (Japan). Faculty of Engineering; Obuchi, T. [Kawasaki Geological Engineering Co. Ltd., Tokyo (Japan)
1998-02-01
Spatial autocorrelation method (SAC) is an effective analysis for estimating underground S-wave velocity structure from microtremor phase velocity dispersion relation because it has larger detectable range of microtremor wavelength than frequency-wavenumber analysis. However, phase velocities estimated by conventional SAC methods such as band-pass filtered method or Fast Fourier Transform method were not precise if suitable band width was not selected for analysis. We proposed a new technique for SAC using autoregressive model which estimated spectra with high resolution because the best fitting model can be selected using AIC. We apply the new method to calculate phase velocities of microtremors which were observed at a ground of Morioka Technical High School with arrays. As a result, phase velocities calculated by the new method were continuous with frequency although those calculated by the conventional methods were scattered. This indicates that SAC functions calculated by the new method are estimated better than those by conventional SAC methods. 13 refs., 7 figs.
Identification and estimation of non-Gaussian structural vector autoregressions
DEFF Research Database (Denmark)
Lanne, Markku; Meitz, Mika; Saikkonen, Pentti
Conventional structural vector autoregressive (SVAR) models with Gaussian errors are not identified, and additional identifying restrictions are typically imposed in applied work. We show that the Gaussian case is an exception in that a SVAR model whose error vector consists of independent non......, additional economic identifying restrictions can be tested. In an empirical application, we find a negative impact of a contractionary monetary policy shock on financial markets, and clearly reject the commonly employed recursive identifying restrictions....
Autoregressive Logistic Regression Applied to Atmospheric Circulation Patterns
Guanche, Yanira; Mínguez, Roberto; Méndez, Fernando J.
2013-04-01
The study of atmospheric patterns, weather types or circulation patterns, is a topic deeply studied by climatologists, and it is widely accepted to disaggregate the atmospheric conditions over regions in a certain number of representative states. This consensus allows simplifying the study of climate conditions to improve weather predictions and a better knowledge of the influence produced by anthropogenic activities on the climate system. Once the atmospheric conditions have been reduced to a catalogue of representative states, it is desirable to dispose of numerical models to improve our understanding about weather dynamics, i.e. i) to analyze climate change studying trends in the probability of occurrence of weather types, ii) to study seasonality and iii) to analyze the possible influence of previous states (Autoregressive terms or Markov Chains). This work introduces the mathematical framework to analyze those effects from a qualitative point of view. In particular, an autoregressive logistic regression model, which has been successfully applied in medical and pharmacological research fields, is presented. The main advantages of autoregressive logistic regression are that i) it can be used to model polytomous outcome variables, such as circulation types, and ii) standard statistical software can be used for fitting purposes. To show the potential of these kind of models for analyzing atmospheric conditions, a case of study located in the Northeastern Atlantic is described. Results obtained show how the model is capable of dealing simultaneously with predictors related to different time scales, which can be used to simulate the behaviour of circulation patterns.
Prediction of municipal solid waste generation using nonlinear autoregressive network.
Younes, Mohammad K; Nopiah, Z M; Basri, N E Ahmad; Basri, H; Abushammala, Mohammed F M; Maulud, K N A
2015-12-01
Most of the developing countries have solid waste management problems. Solid waste strategic planning requires accurate prediction of the quality and quantity of the generated waste. In developing countries, such as Malaysia, the solid waste generation rate is increasing rapidly, due to population growth and new consumption trends that characterize society. This paper proposes an artificial neural network (ANN) approach using feedforward nonlinear autoregressive network with exogenous inputs (NARX) to predict annual solid waste generation in relation to demographic and economic variables like population number, gross domestic product, electricity demand per capita and employment and unemployment numbers. In addition, variable selection procedures are also developed to select a significant explanatory variable. The model evaluation was performed using coefficient of determination (R(2)) and mean square error (MSE). The optimum model that produced the lowest testing MSE (2.46) and the highest R(2) (0.97) had three inputs (gross domestic product, population and employment), eight neurons and one lag in the hidden layer, and used Fletcher-Powell's conjugate gradient as the training algorithm.
Improving Variational Autoencoders with Inverse Autoregressive Flow
Kingma, D.; Salimans, T.; Josefowicz, R.; Chen, X.; Sutskever, I.; Welling, M.; Lee, D.D.; von Luxburg, U.; Garnett, R.; Sugiyama, M.; Guyon, I.
2017-01-01
The framework of normalizing flows provides a general strategy for flexible variational inference of posteriors over latent variables. We propose a new type of normalizing flow, inverse autoregressive flow (IAF), that, in contrast to earlier published flows, scales well to high-dimensional latent
The Integration Order of Vector Autoregressive Processes
DEFF Research Database (Denmark)
Franchi, Massimo
We show that the order of integration of a vector autoregressive process is equal to the difference between the multiplicity of the unit root in the characteristic equation and the multiplicity of the unit root in the adjoint matrix polynomial. The equivalence with the standard I(1) and I(2...
Monthly streamflow forecasting with auto-regressive integrated moving average
Nasir, Najah; Samsudin, Ruhaidah; Shabri, Ani
2017-09-01
Forecasting of streamflow is one of the many ways that can contribute to better decision making for water resource management. The auto-regressive integrated moving average (ARIMA) model was selected in this research for monthly streamflow forecasting with enhancement made by pre-processing the data using singular spectrum analysis (SSA). This study also proposed an extension of the SSA technique to include a step where clustering was performed on the eigenvector pairs before reconstruction of the time series. The monthly streamflow data of Sungai Muda at Jeniang, Sungai Muda at Jambatan Syed Omar and Sungai Ketil at Kuala Pegang was gathered from the Department of Irrigation and Drainage Malaysia. A ratio of 9:1 was used to divide the data into training and testing sets. The ARIMA, SSA-ARIMA and Clustered SSA-ARIMA models were all developed in R software. Results from the proposed model are then compared to a conventional auto-regressive integrated moving average model using the root-mean-square error and mean absolute error values. It was found that the proposed model can outperform the conventional model.
Methodology for the AutoRegressive Planet Search (ARPS) Project
Feigelson, Eric; Caceres, Gabriel; ARPS Collaboration
2018-01-01
The detection of periodic signals of transiting exoplanets is often impeded by the presence of aperiodic photometric variations. This variability is intrinsic to the host star in space-based observations (typically arising from magnetic activity) and from observational conditions in ground-based observations. The most common statistical procedures to remove stellar variations are nonparametric, such as wavelet decomposition or Gaussian Processes regression. However, many stars display variability with autoregressive properties, wherein later flux values are correlated with previous ones. Providing the time series is evenly spaced, parametric autoregressive models can prove very effective. Here we present the methodology of the Autoregessive Planet Search (ARPS) project which uses Autoregressive Integrated Moving Average (ARIMA) models to treat a wide variety of stochastic short-memory processes, as well as nonstationarity. Additionally, we introduce a planet-search algorithm to detect periodic transits in the time-series residuals after application of ARIMA models. Our matched-filter algorithm, the Transit Comb Filter (TCF), replaces the traditional box-fitting step. We construct a periodogram based on the TCF to concentrate the signal of these periodic spikes. Various features of the original light curves, the ARIMA fits, the TCF periodograms, and folded light curves at peaks of the TCF periodogram can then be collected to provide constraints for planet detection. These features provide input into a multivariate classifier when a training set is available. The ARPS procedure has been applied NASA's Kepler mission observations of ~200,000 stars (Caceres, Dissertation Talk, this meeting) and will be applied in the future to other datasets.
Temporal aggregation in first order cointegrated vector autoregressive
DEFF Research Database (Denmark)
la Cour, Lisbeth Funding; Milhøj, Anders
2006-01-01
We study aggregation - or sample frequencies - of time series, e.g. aggregation from weekly to monthly or quarterly time series. Aggregation usually gives shorter time series but spurious phenomena, in e.g. daily observations, can on the other hand be avoided. An important issue is the effect of ...... of aggregation on the adjustment coefficient in cointegrated systems. We study only first order vector autoregressive processes for n dimensional time series Xt, and we illustrate the theory by a two dimensional and a four dimensional model for prices of various grades of gasoline....
Representation of cointegrated autoregressive processes with application to fractional processes
DEFF Research Database (Denmark)
Johansen, Søren
2009-01-01
We analyse vector autoregressive processes using the matrix valued characteristic polynomial. The purpose of this paper is to give a survey of the mathematical results on inversion of a matrix polynomial in case there are unstable roots, to study integrated and cointegrated processes. The new re...... results are in the I(2) representation, which contains explicit formulas for the first two terms and a useful property of the third. We define a new error correction model for fractional processes and derive a representation of the solution....
A Note on the Properties of Generalised Separable Spatial Autoregressive Process
Directory of Open Access Journals (Sweden)
Mahendran Shitan
2009-01-01
Full Text Available Spatial modelling has its applications in many fields like geology, agriculture, meteorology, geography, and so forth. In time series a class of models known as Generalised Autoregressive (GAR has been introduced by Peiris (2003 that includes an index parameter δ. It has been shown that the inclusion of this additional parameter aids in modelling and forecasting many real data sets. This paper studies the properties of a new class of spatial autoregressive process of order 1 with an index. We will call this a Generalised Separable Spatial Autoregressive (GENSSAR Model. The spectral density function (SDF, the autocovariance function (ACVF, and the autocorrelation function (ACF are derived. The theoretical ACF and SDF plots are presented as three-dimensional figures.
Multistage Stochastic Programming via Autoregressive Sequences
Czech Academy of Sciences Publication Activity Database
Kaňková, Vlasta
2007-01-01
Roč. 15, č. 4 (2007), s. 99-110 ISSN 0572-3043 R&D Projects: GA ČR GA402/07/1113; GA ČR(CZ) GA402/06/0990; GA ČR GD402/03/H057 Institutional research plan: CEZ:AV0Z10750506 Keywords : Economic proceses * Multistage stochastic programming * autoregressive sequences * individual probability constraints Subject RIV: BB - Applied Statistics, Operational Research
1992-03-01
Objective .. .. .. .. ... ... ... ... ... ... ... ... 3 II. Literature Search and Review . .. .. .. .. ... ... ... ... ... ... ... ... 4 2.1 Introduction...Literature Search and Review 2. I Introduction The following paragraphs will summarize literature pertinent to this research. The literature summary...Strawberry," Phytopathology , 78: 246-252 (1988). 23. Stoffer, David S. "Estimation and Identification of Space-Time ARMAX Models in the Pres- ence of Missing
Folmer, Eelke O.; Olff, Han; Piersma, Theunis; Robinson, Rob
Patch choice of foraging animals is typically assumed to depend positively on food availability and negatively on interference while benefits of the co-occurrence of conspecifics tend to be ignored. In this paper we integrate a classical functional response model based on resource availability and
Energy Technology Data Exchange (ETDEWEB)
Castro, Jorge Henrique de [Petroleo Brasileiro S.A. (PETROBRAS), Rio de Janeiro, RJ (Brazil); Silva, Alexandre Pinto Alves da [Coordenacao dos Programas de Pos-Graduacao de Engenharia (COPPE/UFRJ), RJ (Brazil). Programa de Engenharia Eletrica
2010-07-01
Develop the natural gas network is critical success factor for the distribution company. It is a decision that employs the demand given location 'x' and a future time 't' so that the net allows the best conditions for the return of the capital. In this segment, typical network industry, the spatial infra-structure vision associated to the market allows better evaluation of the business because to mitigate costs and risks. In fact, economic models little developed in order to assess the question of the location, due to its little employment by economists. The objective of this article is to analyze the application of spatial perspective in natural gas demand forecasting and to identify the models that can be employed observing issues of dependency and spatial heterogeneity; as well as the capacity of mapping of variables associated with the problem. (author)
International Nuclear Information System (INIS)
Shipler, D.B.; Napier, B.A.
1992-07-01
This report details the conceptual approaches to be used in calculating radiation doses to individuals throughout the various periods of operations at the Hanford Site. The report considers the major environmental transport pathways--atmospheric, surface water, and ground water--and projects and appropriate modeling technique for each. The modeling sequence chosen for each pathway depends on the available data on doses, the degree of confidence justified by such existing data, and the level of sophistication deemed appropriate for the particular pathway and time period being considered
Modeling prosody: Different approaches
Carmichael, Lesley M.
2002-11-01
Prosody pervades all aspects of a speech signal, both in terms of raw acoustic outcomes and linguistically meaningful units, from the phoneme to the discourse unit. It is carried in the suprasegmental features of fundamental frequency, loudness, and duration. Several models have been developed to account for the way prosody organizes speech, and they vary widely in terms of their theoretical assumptions, organizational primitives, actual procedures of application to speech, and intended use (e.g., to generate speech from text vs. to model the prosodic phonology of a language). In many cases, these models overtly contradict one another with regard to their fundamental premises or their identification of the perceptible objects of linguistic prosody. These competing models are directly compared. Each model is applied to the same speech samples. This parallel analysis allows for a critical inspection of each model and its efficacy in assessing the suprasegmental behavior of the speech. The analyses illustrate how different approaches are better equipped to account for different aspects of prosody. Viewing the models and their successes from an objective perspective allows for creative possibilities in terms of combining strengths from models which might otherwise be considered fundamentally incompatible.
Multivariate autoregressive algorithms for ocean wave modelling
Digital Repository Service at National Institute of Oceanography (India)
Mandal, S.; Lyons, G.J.; Witz, J.A.
stream_size 8 stream_content_type text/plain stream_name 2_Int_Offshore_Polar_Eng_Conf_Proc_1992_77.pdf.txt stream_source_info 2_Int_Offshore_Polar_Eng_Conf_Proc_1992_77.pdf.txt Content-Encoding ISO-8859-1 Content-Type text...
An Econometric Investigation Using Vector Autoregression Modeling
African Journals Online (AJOL)
The paper analyses monetary development and effects on economic growth in Nigeria for the period 1970-2008. The time series data used for the work were extracted from the central bank of Nigeria's statistical bulletin. The ultimate objective of the study is to determine the interdependency or directional causation of ...
Unit Root Vector Autoregression with volatility Induced Stationarity
DEFF Research Database (Denmark)
Rahbek, Anders; Nielsen, Heino Bohn
We propose a discrete-time multivariate model where lagged levels of the process enter both the conditional mean and the conditional variance. This way we allow for the empirically observed persistence in time series such as interest rates, often implying unit-roots, while at the same time maintain...... stationarity despite such unit-roots. Specifically, the model bridges vector autoregressions and multivariate ARCH models in which residuals are replaced by levels lagged. An empirical illustration using recent US term structure data is given in which the individual interest rates have unit roots, have...... and geometrically ergodic. Interestingly, these conditions include the case of unit roots and a reduced rank structure in the conditional mean, known from linear co-integration to imply non-stationarity. Asymptotic theory of the maximum likelihood estimators for a particular structured case (so-called self...
Finite-Sample Bias Propagation in Autoregressive Estimation With the Yule–Walker Method
Broersen, P.M.T.
2009-01-01
The Yule-Walker (YW) method for autoregressive (AR) estimation uses lagged-product (LP) autocorrelation estimates to compute an AR parametric spectral model. The LP estimates only have a small triangular bias in the estimated autocorrelation function and are asymptotically unbiased. However, using
Material Modelling - Composite Approach
DEFF Research Database (Denmark)
Nielsen, Lauge Fuglsang
1997-01-01
This report is part of a research project on "Control of Early Age Cracking" - which, in turn, is part of the major research programme, "High Performance Concrete - The Contractor's Technology (HETEK)", coordinated by the Danish Road Directorate, Copenhagen, Denmark, 1997.A composite-rheological ......This report is part of a research project on "Control of Early Age Cracking" - which, in turn, is part of the major research programme, "High Performance Concrete - The Contractor's Technology (HETEK)", coordinated by the Danish Road Directorate, Copenhagen, Denmark, 1997.A composite......-rheological model of concrete is presented by which consistent predictions of creep, relaxation, and internal stresses can be made from known concrete composition, age at loading, and climatic conditions. No other existing "creep prediction method" offers these possibilities in one approach.The model...... in this report is that cement paste and concrete behave practically as linear-viscoelastic materials from an age of approximately 10 hours. This is a significant age extension relative to earlier studies in the literature where linear-viscoelastic behavior is only demonstrated from ages of a few days. Thus...
A Fault Diagnosis Approach for Gears Based on IMF AR Model and SVM
Directory of Open Access Journals (Sweden)
Yu Yang
2008-05-01
Full Text Available An accurate autoregressive (AR model can reflect the characteristics of a dynamic system based on which the fault feature of gear vibration signal can be extracted without constructing mathematical model and studying the fault mechanism of gear vibration system, which are experienced by the time-frequency analysis methods. However, AR model can only be applied to stationary signals, while the gear fault vibration signals usually present nonstationary characteristics. Therefore, empirical mode decomposition (EMD, which can decompose the vibration signal into a finite number of intrinsic mode functions (IMFs, is introduced into feature extraction of gear vibration signals as a preprocessor before AR models are generated. On the other hand, by targeting the difficulties of obtaining sufficient fault samples in practice, support vector machine (SVM is introduced into gear fault pattern recognition. In the proposed method in this paper, firstly, vibration signals are decomposed into a finite number of intrinsic mode functions, then the AR model of each IMF component is established; finally, the corresponding autoregressive parameters and the variance of remnant are regarded as the fault characteristic vectors and used as input parameters of SVM classifier to classify the working condition of gears. The experimental analysis results show that the proposed approach, in which IMF AR model and SVM are combined, can identify working condition of gears with a success rate of 100% even in the case of smaller number of samples.
Biometeorological and autoregressive indices for predicting olive pollen intensity.
Oteros, J; García-Mozo, H; Hervás, C; Galán, C
2013-03-01
This paper reports on modelling to predict airborne olive pollen season severity, expressed as a pollen index (PI), in Córdoba province (southern Spain) several weeks prior to the pollen season start. Using a 29-year database (1982-2010), a multivariate regression model based on five indices-the index-based model-was built to enhance the efficacy of prediction models. Four of the indices used were biometeorological indices: thermal index, pre-flowering hydric index, dormancy hydric index and summer index; the fifth was an autoregressive cyclicity index based on pollen data from previous years. The extreme weather events characteristic of the Mediterranean climate were also taken into account by applying different adjustment criteria. The results obtained with this model were compared with those yielded by a traditional meteorological-based model built using multivariate regression analysis of simple meteorological-related variables. The performance of the models (confidence intervals, significance levels and standard errors) was compared, and they were also validated using the bootstrap method. The index-based model built on biometeorological and cyclicity indices was found to perform better for olive pollen forecasting purposes than the traditional meteorological-based model.
Directory of Open Access Journals (Sweden)
Kleber Regis Santoro
2011-09-01
using an autoregressive model of first order. The predicted autocorrelations between control daily, weekly, monthly, and every 20 days were overestimated in any period of lactation, especially between two forthcoming productions and in the range of one to 30 days. Regardless of the control range considered, Pearson's correlations were high and significant among milk production in the morning, afternoon, and day total. Thus, among the records used, all of them can be indicated to estimate total milk production, leaving the discretion of the definition of producer milk yields in the morning, afternoon and day total. Regardless of the control range adopted, if one chooses the day's total output, she/he should be aware of the elapsed time between two milkings to compose this production, for the management of milking and the number of milking can affect the physiology of the udder and, consequently, milk production.
Autoregressive logistic regression applied to atmospheric circulation patterns
Guanche, Y.; Mínguez, R.; Méndez, F. J.
2014-01-01
Autoregressive logistic regression models have been successfully applied in medical and pharmacology research fields, and in simple models to analyze weather types. The main purpose of this paper is to introduce a general framework to study atmospheric circulation patterns capable of dealing simultaneously with: seasonality, interannual variability, long-term trends, and autocorrelation of different orders. To show its effectiveness on modeling performance, daily atmospheric circulation patterns identified from observed sea level pressure fields over the Northeastern Atlantic, have been analyzed using this framework. Model predictions are compared with probabilities from the historical database, showing very good fitting diagnostics. In addition, the fitted model is used to simulate the evolution over time of atmospheric circulation patterns using Monte Carlo method. Simulation results are statistically consistent with respect to the historical sequence in terms of (1) probability of occurrence of the different weather types, (2) transition probabilities and (3) persistence. The proposed model constitutes an easy-to-use and powerful tool for a better understanding of the climate system.
Autoregressive Prediction with Rolling Mechanism for Time Series Forecasting with Small Sample Size
Directory of Open Access Journals (Sweden)
Zhihua Wang
2014-01-01
Full Text Available Reasonable prediction makes significant practical sense to stochastic and unstable time series analysis with small or limited sample size. Motivated by the rolling idea in grey theory and the practical relevance of very short-term forecasting or 1-step-ahead prediction, a novel autoregressive (AR prediction approach with rolling mechanism is proposed. In the modeling procedure, a new developed AR equation, which can be used to model nonstationary time series, is constructed in each prediction step. Meanwhile, the data window, for the next step ahead forecasting, rolls on by adding the most recent derived prediction result while deleting the first value of the former used sample data set. This rolling mechanism is an efficient technique for its advantages of improved forecasting accuracy, applicability in the case of limited and unstable data situations, and requirement of little computational effort. The general performance, influence of sample size, nonlinearity dynamic mechanism, and significance of the observed trends, as well as innovation variance, are illustrated and verified with Monte Carlo simulations. The proposed methodology is then applied to several practical data sets, including multiple building settlement sequences and two economic series.
Performance of the Autoregressive Method in Long-Term Prediction of Sunspot Number
Chae, Jongchul; Kim, Yeon Han
2017-04-01
The autoregressive method provides a univariate procedure to predict the future sunspot number (SSN) based on past record. The strength of this method lies in the possibility that from past data it yields the SSN in the future as a function of time. On the other hand, its major limitation comes from the intrinsic complexity of solar magnetic activity that may deviate from the linear stationary process assumption that is the basis of the autoregressive model. By analyzing the residual errors produced by the method, we have obtained the following conclusions: (1) the optimal duration of the past time for the forecast is found to be 8.5 years; (2) the standard error increases with prediction horizon and the errors are mostly systematic ones resulting from the incompleteness of the autoregressive model; (3) there is a tendency that the predicted value is underestimated in the activity rising phase, while it is overestimated in the declining phase; (5) the model prediction of a new Solar Cycle is fairly good when it is similar to the previous one, but is bad when the new cycle is much different from the previous one; (6) a reasonably good prediction of a new cycle can be made using the AR model 1.5 years after the start of the cycle. In addition, we predict the next cycle (Solar Cycle 25) will reach the peak in 2024 at the activity level similar to the current cycle.
Testing for rational bubbles in a co-explosive vector autoregression
DEFF Research Database (Denmark)
Engsted, Tom; Nielsen, Bent
We derive the parameter restrictions that a standard equity market model implies for a bivariate vector autoregression for stock prices and dividends, and we show how to test these restrictions using likelihood ratio tests. The restrictions, which imply that stock returns are unpredictable, are d...... is analysed using a co-explosive framework. The methodology is illustrated using US stock prices and dividends for the period 1872-2000....
Exchange rate pass-through in Switzerland: Evidence from vector autoregressions
Jonas Stulz
2007-01-01
This study investigates the pass-through of exchange rate and import price shocks to different aggregated prices in Switzerland. The baseline analysis is carried out with recursively identified vector autoregressive (VAR) models. The data set comprises monthly observations, and pass-through effects are quantified by means of impulse response functions. Evidence shows that the exchange rate pass-through to import prices is substantial (although incomplete), but only moderate to total consumer ...
Directory of Open Access Journals (Sweden)
Siti Choirun Nisak
2016-06-01
Full Text Available Time series forecasting models can be used to predict phenomena that occur in nature. Generalized Space Time Autoregressive (GSTAR is one of time series model used to forecast the data consisting the elements of time and space. This model is limited to the stationary and non-seasonal data. Generalized Space Time Autoregressive Integrated Moving Average (GSTARIMA is GSTAR development model that accommodates the non-stationary and seasonal data. Ordinary Least Squares (OLS is method used to estimate parameter of GSTARIMA model. Estimation parameter of GSTARIMA model using OLS will not produce efficiently estimator if there is an error correlation between spaces. Ordinary Least Square (OLS assumes the variance-covariance matrix has a constant error ~(, but in fact, the observatory spaces are correlated so that variance-covariance matrix of the error is not constant. Therefore, Seemingly Unrelated Regression (SUR approach is used to accommodate the weakness of the OLS. SUR assumption is ~(, for estimating parameters GSTARIMA model. The method to estimate parameter of SUR is Generalized Least Square (GLS. Applications GSTARIMA-SUR models for rainfall data in the region Malang obtained GSTARIMA models ((1(1,12,36,(0,(1-SUR with determination coefficient generated with the average of 57.726%.
A MODEL FOR THE PALM OIL MARKET IN NIGERIA: AN ECONOMETRICS APPROACH
Directory of Open Access Journals (Sweden)
Henry Egwuma
2016-04-01
Full Text Available The aim of this study is to formulate and estimate a model for the palm oil market in Nigeria with a view to identifying principal factors that shape the Nigerian palm oil industry. Four structural equation models comprising palm oil production, import demand, domestic demand and producer price have been estimated using the autoregressive distributed lag (ARDL cointegration approach over the 1970 to 2011 period. The results reveal that significant factors that influence the Nigerian palm oil industry include the own price, technological improvements, and income level. Government expenditure on agricultural development is also an important determinant, which underscores the need for government support in agriculture. Our model provides a useful framework for analyzing the effects of changes in major exogenous variables such as income or import tariff on the production, demand, and price of palm oil.
Non-Gaussian Autoregressive Processes with Tukey g-and-h Transformations
Yan, Yuan
2017-11-20
When performing a time series analysis of continuous data, for example from climate or environmental problems, the assumption that the process is Gaussian is often violated. Therefore, we introduce two non-Gaussian autoregressive time series models that are able to fit skewed and heavy-tailed time series data. Our two models are based on the Tukey g-and-h transformation. We discuss parameter estimation, order selection, and forecasting procedures for our models and examine their performances in a simulation study. We demonstrate the usefulness of our models by applying them to two sets of wind speed data.
Dharmasena, Senarath; Capps, Oral, Jr.; Bessler, David A.
2012-01-01
The non-alcoholic beverage market in the U.S. is a multi-billion dollar industry growing steadily over the past decade. Also, non-alcoholic beverages are among the most heavily advertised food and beverage groups in the United States. Several studies pertaining to non-alcoholic beverages including the incorporation of advertising effects have been conducted, but most of these have centered attention on milk consumption. Some studies have considered demand interrelationships for several bevera...
Exploration vs Exploitation with Partially Observable Gaussian Autoregressive Arms
Kuhn, J.; Mandjes, M.; Nazarathy, Y.
2015-01-01
We consider a restless bandit problem with Gaussian autoregressive arms, where the state of an arm is only observed when it is played and the state-dependent reward is collected. Since arms are only partially observable, a good decision policy needs to account for the fact that information about the
A General Representation Theorem for Integrated Vector Autoregressive Processes
DEFF Research Database (Denmark)
Franchi, Massimo
We study the algebraic structure of an I(d) vector autoregressive process, where d is restricted to be an integer. This is useful to characterize its polynomial cointegrating relations and its moving average representation, that is to prove a version of the Granger representation theorem valid...
Double sampling control chart for a first order autoregressive process
Directory of Open Access Journals (Sweden)
Fernando A. E. Claro
2008-12-01
Full Text Available In this paper we propose the Double Sampling control chart for monitoring processes in which the observations follow a first order autoregressive model. We consider sampling intervals that are sufficiently long to meet the rational subgroup concept. The Double Sampling chart is substantially more efficient than the Shewhart chart and the Variable Sample Size chart. To study the properties of these charts we derived closed-form expressions for the average run length (ARL taking into account the within-subgroup correlation. Numerical results show that this correlation has a significant impact on the chart properties.Neste artigo propomos o gráfico de controle de amostragem dupla para monitoramento de processos nos quais as observações seguem um modelo autoregressivo de primeira ordem. Nós consideramos intervalos de amostragem suficientemente longos em linha com o conceito de subgrupos racionais. O gráfico de controle de amostragem dupla é substancialmente mais eficiente que o Gráfico de Shewhart e do que o Gráfico com Amostra de Tamanho Variável. Para estudar as propriedades destes gráficos nós derivamos expressões de forma-fechada para o Numero Médio de Amostras até o Sinal (NMA levando em conta a correlação dentro do subgrupo. Os resultados numéricos mostram que esta correlação tem impacto significante sobre as propriedades do gráfico.
Modelling West African Total Precipitation Depth: A Statistical Approach
Directory of Open Access Journals (Sweden)
S. Sovoe
2015-09-01
Full Text Available Even though several reports over the past few decades indicate an increasing aridity over West Africa, attempts to establish the controlling factor(s have not been successful. The traditional belief of the position of the Inter-tropical Convergence Zone (ITCZ as the predominant factor over the region has been refuted by recent findings. Changes in major atmospheric circulations such as African Easterly Jet (AEJ and Tropical Easterly Jet (TEJ are being cited as major precipitation driving forces over the region. Thus, any attempt to predict long term precipitation events over the region using Global Circulation or Local Circulation Models could be flawed as the controlling factors are not fully elucidated yet. Successful prediction effort may require models which depend on past events as their inputs as in the case of time series models such as Autoregressive Integrated Moving Average (ARIMA model. In this study, historical precipitation data was imported as time series data structure into an R programming language and was used to build appropriate Seasonal Multiplicative Autoregressive Integrated Moving Average model, ARIMA (p, d, q*(P, D, Q. The model was then used to predict long term precipitation events over the Ghanaian segment of the Volta Basin which could be used in planning and implementation of development policies.
Forecasting autoregressive time series under changing persistence
DEFF Research Database (Denmark)
Kruse, Robinson
Changing persistence in time series models means that a structural change from nonstationarity to stationarity or vice versa occurs over time. Such a change has important implications for forecasting, as negligence may lead to inaccurate model predictions. This paper derives generally applicable...... recommendations, no matter whether a change in persistence occurs or not. Seven different forecasting strategies based on a biasedcorrected estimator are compared by means of a large-scale Monte Carlo study. The results for decreasing and increasing persistence are highly asymmetric and new to the literature. Its...
Analyzing the House Fly’s Exploratory Behavior with Autoregression Methods
Takahashi, Hisanao; Horibe, Naoto; Shimada, Masakazu; Ikegami, Takashi
2008-08-01
This paper presents a detailed characterization of the trajectory of a single housefly with free range of a square cage. The trajectory of the fly was recorded and transformed into a time series, which was fully analyzed using an autoregressive model, which describes a stationary time series by a linear regression of prior state values with the white noise. The main discovery was that the fly switched styles of motion from a low dimensional regular pattern to a higher dimensional disordered pattern. This discovered exploratory behavior is, irrespective of the presence of food, characterized by anomalous diffusion.
Gamma and Exponential Autoregressive Moving Average (ARMA ...
African Journals Online (AJOL)
Time series data encountered in practice depict properties that deviate from those of gaussian processes. The gamma and exponentially distributed processes which are used as basic models for positive time series fall in the class of non-gaussian processes. In this paper, we develop new and simpler representations of the ...
HEDR modeling approach: Revision 1
International Nuclear Information System (INIS)
Shipler, D.B.; Napier, B.A.
1994-05-01
This report is a revision of the previous Hanford Environmental Dose Reconstruction (HEDR) Project modeling approach report. This revised report describes the methods used in performing scoping studies and estimating final radiation doses to real and representative individuals who lived in the vicinity of the Hanford Site. The scoping studies and dose estimates pertain to various environmental pathways during various periods of time. The original report discussed the concepts under consideration in 1991. The methods for estimating dose have been refined as understanding of existing data, the scope of pathways, and the magnitudes of dose estimates were evaluated through scoping studies
HEDR modeling approach: Revision 1
Energy Technology Data Exchange (ETDEWEB)
Shipler, D.B.; Napier, B.A.
1994-05-01
This report is a revision of the previous Hanford Environmental Dose Reconstruction (HEDR) Project modeling approach report. This revised report describes the methods used in performing scoping studies and estimating final radiation doses to real and representative individuals who lived in the vicinity of the Hanford Site. The scoping studies and dose estimates pertain to various environmental pathways during various periods of time. The original report discussed the concepts under consideration in 1991. The methods for estimating dose have been refined as understanding of existing data, the scope of pathways, and the magnitudes of dose estimates were evaluated through scoping studies.
Multistage Stochastic Programs via Autoregressive Sequences and Individual Probabiliy Constraints
Czech Academy of Sciences Publication Activity Database
Kaňková, Vlasta
2008-01-01
Roč. 44, č. 2 (2008), s. 151-70 ISSN 0023-5954 R&D Projects: GA ČR GA402/07/1113 Institutional research plan: CEZ:AV0Z10750506 Keywords : multistage stochastic programming problem * individual probebility constraints * autoregressive sequence * Wasserstein metric * empirical estimates * multiobjective problems Subject RIV: BB - Applied Statistics, Operational Research Impact factor: 0.281, year: 2008
Modified Confidence Intervals for the Mean of an Autoregressive Process.
1985-08-01
autorregressive method of simulation output analysis. Jow (1982) details the autoregressive method for vector processes, and the articles LAW AND KELTON (1982...moments and cumulants of some function f(z), where z is a vector of sample means of an asymptotically stationary sequence. After expanding f in a Taylor...we may take S(i) = " z and obtain all the analogous results for mixed cumulants provided the vector process ( (’)): i > 0) satisfies the mixing and
Characterization of autoregressive processes using entropic quantifiers
Traversaro, Francisco; Redelico, Francisco O.
2018-01-01
The aim of the contribution is to introduce a novel information plane, the causal-amplitude informational plane. As previous works seems to indicate, Bandt and Pompe methodology for estimating entropy does not allow to distinguish between probability distributions which could be fundamental for simulation or for probability analysis purposes. Once a time series is identified as stochastic by the causal complexity-entropy informational plane, the novel causal-amplitude gives a deeper understanding of the time series, quantifying both, the autocorrelation strength and the probability distribution of the data extracted from the generating processes. Two examples are presented, one from climate change model and the other from financial markets.
Modeling Approaches in Planetary Seismology
Weber, Renee; Knapmeyer, Martin; Panning, Mark; Schmerr, Nick
2014-01-01
Of the many geophysical means that can be used to probe a planet's interior, seismology remains the most direct. Given that the seismic data gathered on the Moon over 40 years ago revolutionized our understanding of the Moon and are still being used today to produce new insight into the state of the lunar interior, it is no wonder that many future missions, both real and conceptual, plan to take seismometers to other planets. To best facilitate the return of high-quality data from these instruments, as well as to further our understanding of the dynamic processes that modify a planet's interior, various modeling approaches are used to quantify parameters such as the amount and distribution of seismicity, tidal deformation, and seismic structure on and of the terrestrial planets. In addition, recent advances in wavefield modeling have permitted a renewed look at seismic energy transmission and the effects of attenuation and scattering, as well as the presence and effect of a core, on recorded seismograms. In this chapter, we will review these approaches.
A nonlinear approach to modelling the residential electricity consumption in Ethiopia
International Nuclear Information System (INIS)
Gabreyohannes, Emmanuel
2010-01-01
In this paper an attempt is made to model, analyze and forecast the residential electricity consumption in Ethiopia using the self-exciting threshold autoregressive (SETAR) model and the smooth transition regression (STR) model. For comparison purposes, the application was also extended to standard linear models. During the empirical presentation of both models, significant nonlinear effects were found and linearity was rejected. The SETAR model was found out to be relatively better than the linear autoregressive model in out-of-sample point and interval (density) forecasts. Results from our STR model showed that the residual variance of the fitted STR model was only about 65.7% of that of the linear ARX model. Thus, we can conclude that the inclusion of the nonlinear part, which basically accounts for the arrival of extreme price events, leads to improvements in the explanatory abilities of the model for electricity consumption in Ethiopia. (author)
An SEM Approach to Continuous Time Modeling of Panel Data: Relating Authoritarianism and Anomia
Voelkle, Manuel C.; Oud, Johan H. L.; Davidov, Eldad; Schmidt, Peter
2012-01-01
Panel studies, in which the same subjects are repeatedly observed at multiple time points, are among the most popular longitudinal designs in psychology. Meanwhile, there exists a wide range of different methods to analyze such data, with autoregressive and cross-lagged models being 2 of the most well known representatives. Unfortunately, in these…
Pachhai, S.; Masters, G.; Laske, G.
2017-12-01
Earth's normal-mode spectra are crucial to studying the long wavelength structure of the Earth. Such observations have been used extensively to estimate "splitting coefficients" which, in turn, can be used to determine the three-dimensional velocity and density structure. Most past studies apply a non-linear iterative inversion to estimate the splitting coefficients which requires that the earthquake source is known. However, it is challenging to know the source details, particularly for big events as used in normal-mode analyses. Additionally, the final solution of the non-linear inversion can depend on the choice of damping parameter and starting model. To circumvent the need to know the source, a two-step linear inversion has been developed and successfully applied to many mantle and core sensitive modes. The first step takes combinations of the data from a single event to produce spectra known as "receiver strips". The autoregressive nature of the receiver strips can then be used to estimate the structure coefficients without the need to know the source. Based on this approach, we recently employed a neighborhood algorithm to measure the splitting coefficients for an isolated inner-core sensitive mode (13S2). This approach explores the parameter space efficiently without any need of regularization and finds the structure coefficients which best fit the observed strips. Here, we implement a Bayesian approach to data collected for earthquakes from early 2000 and more recent. This approach combines the data (through likelihood) and prior information to provide rigorous parameter values and their uncertainties for both isolated and coupled modes. The likelihood function is derived from the inferred errors of the receiver strips which allows us to retrieve proper uncertainties. Finally, we apply model selection criteria that balance the trade-offs between fit (likelihood) and model complexity to investigate the degree and type of structure (elastic and anelastic
International Nuclear Information System (INIS)
Aruquipa Coloma, Wilmer
2017-01-01
Nuclear reactors are susceptible to instability, causing oscillations in reactor power in specific working regions characterized by determined values of power and coolant mass flow. During reactor startup, there is a greater probability that these regions of instability will be present; another reason may be due to transient processes in some reactor parameters. The analysis of the temporal evolution of the power reveals a stable or unstable process after the disturbance in a light water reactor of type BWR (Boiling Water Reactor). In this work, the instability problem was approached in two ways. The first form is based on the ARMA (Autoregressive Moving Average models) model. This model was used to calculate the Decay Ratio (DR) and natural frequency (NF) of the oscillations, parameters that indicate if the one power signal is stable or not. In this sense, the DRARMA code was developed. In the second form, the problems of instability were analyzed using the classical concepts of non-linear systems, such as Lyapunov exponents, phase space and attractors. The Lyapunov exponents quantify the exponential divergence of the trajectories initially close to the phase space and estimate the amount of chaos in a system; the phase space and the attractors describe the dynamic behavior of the system. The main aim of the instability phenomena studies in nuclear reactors is to try to identify points or regions of operation that can lead to power oscillations conditions. The two approaches were applied to two sets of signals. The first set comes from signals of instability events of the commercial Forsmark reactors 1 and 2 and were used to validate the DRARMA code. The second set was obtained from the simulation of transient events of the Peach Bottom reactor; for the simulation, the PARCS and RELAP5 codes were used for the neutronic/thermal hydraulic coupling calculation. For all analyzes made in this work, the Matlab software was used due to its ease of programming and
Branding approach and valuation models
Directory of Open Access Journals (Sweden)
Mamula Tatjana
2006-01-01
Full Text Available Much of the skill of marketing and branding nowadays is concerned with building equity for products whose characteristics, pricing, distribution and availability are really quite close to each other. Brands allow the consumer to shop with confidence. The real power of successful brands is that they meet the expectations of those that buy them or, to put it another way, they represent a promise kept. As such they are a contract between a seller and a buyer: if the seller keeps to its side of the bargain, the buyer will be satisfied; if not, the buyer will in future look elsewhere. Understanding consumer perceptions and associations is an important first step to understanding brand preferences and choices. In this paper, we discuss different models to measure value of brand according to couple of well known approaches according to request by companies. We rely upon several empirical examples.
Two Alternative Approaches to Modelling the Nonlinear Dynamics of the Composite Economic Indicator
Konstantin A. Kholodilin
2002-01-01
This paper sets up a common unobserved factor model with smooth transition autoregressive dynamics. This model is compared to the already classical common factor model with regime-switching. Both models' in-sample and out-of-sample performance in terms of capturing and predicting the business cycle turning points is evaluated. The comparison of the model-derived probabilities to the NBER business cycle dating shows statistically equivalent in-sample forecasting accuracy of these techniques. T...
Medium term municipal solid waste generation prediction by autoregressive integrated moving average
Younes, Mohammad K.; Nopiah, Z. M.; Basri, Noor Ezlin A.; Basri, Hassan
2014-09-01
Generally, solid waste handling and management are performed by municipality or local authority. In most of developing countries, local authorities suffer from serious solid waste management (SWM) problems and insufficient data and strategic planning. Thus it is important to develop robust solid waste generation forecasting model. It helps to proper manage the generated solid waste and to develop future plan based on relatively accurate figures. In Malaysia, solid waste generation rate increases rapidly due to the population growth and new consumption trends that characterize the modern life style. This paper aims to develop monthly solid waste forecasting model using Autoregressive Integrated Moving Average (ARIMA), such model is applicable even though there is lack of data and will help the municipality properly establish the annual service plan. The results show that ARIMA (6,1,0) model predicts monthly municipal solid waste generation with root mean square error equals to 0.0952 and the model forecast residuals are within accepted 95% confident interval.
Medium term municipal solid waste generation prediction by autoregressive integrated moving average
International Nuclear Information System (INIS)
Generally, solid waste handling and management are performed by municipality or local authority. In most of developing countries, local authorities suffer from serious solid waste management (SWM) problems and insufficient data and strategic planning. Thus it is important to develop robust solid waste generation forecasting model. It helps to proper manage the generated solid waste and to develop future plan based on relatively accurate figures. In Malaysia, solid waste generation rate increases rapidly due to the population growth and new consumption trends that characterize the modern life style. This paper aims to develop monthly solid waste forecasting model using Autoregressive Integrated Moving Average (ARIMA), such model is applicable even though there is lack of data and will help the municipality properly establish the annual service plan. The results show that ARIMA (6,1,0) model predicts monthly municipal solid waste generation with root mean square error equals to 0.0952 and the model forecast residuals are within accepted 95% confident interval
Kalkkuhl, J; Hunt, K J; Fritz, H
1999-01-01
An finite-element methods (FEM)-based neural-network approach to Nonlinear AutoRegressive with eXogenous input (NARX) modeling is presented. The method uses multilinear interpolation functions on C0 rectangular elements. The local and global structure of the resulting model is analyzed. It is shown that the model can be interpreted both as a local model network and a single layer feedforward neural network. The main aim is to use the model for nonlinear control design. The proposed FEM NARX description is easily accessible to feedback linearizing control techniques. Its use with a two-degrees of freedom nonlinear internal model controller is discussed. The approach is applied to modeling of the nonlinear longitudinal dynamics of an experimental lorry, using measured data. The modeling results are compared with local model network and multilayer perceptron approaches. A nonlinear speed controller was designed based on the identified FEM model. The controller was implemented in a test vehicle, and several experimental results are presented.
A Bayesian approach to model uncertainty
International Nuclear Information System (INIS)
Buslik, A.
1994-01-01
A Bayesian approach to model uncertainty is taken. For the case of a finite number of alternative models, the model uncertainty is equivalent to parameter uncertainty. A derivation based on Savage's partition problem is given
Very-short-term wind power probabilistic forecasts by sparse vector autoregression
DEFF Research Database (Denmark)
Dowell, Jethro; Pinson, Pierre
2016-01-01
A spatio-temporal method for producing very-shortterm parametric probabilistic wind power forecasts at a large number of locations is presented. Smart grids containing tens, or hundreds, of wind generators require skilled very-short-term forecasts to operate effectively, and spatial information...... is highly desirable. In addition, probabilistic forecasts are widely regarded as necessary for optimal power system management as they quantify the uncertainty associated with point forecasts. Here we work within a parametric framework based on the logit-normal distribution and forecast its parameters....... The location parameter for multiple wind farms is modelled as a vector-valued spatiotemporal process, and the scale parameter is tracked by modified exponential smoothing. A state-of-the-art technique for fitting sparse vector autoregressive models is employed to model the location parameter and demonstrates...
Modeling of Sokoto Daily Average Temperature: A Fractional ...
African Journals Online (AJOL)
Modeling of Sokoto Daily Average Temperature: A Fractional Integration Approach. 22 extension of the class of ARIMA processes stemming from Box and Jenkins methodology. One of their originalities is the explicit modeling of the long term correlation structure (Diebolt and. Guiraud, 2000). Autoregressive fractionally.
A variable projection approach for efficient estimation of RBF-ARX model.
Gan, Min; Li, Han-Xiong; Peng, Hui
2015-03-01
The radial basis function network-based autoregressive with exogenous inputs (RBF-ARX) models have much more linear parameters than nonlinear parameters. Taking advantage of this special structure, a variable projection algorithm is proposed to estimate the model parameters more efficiently by eliminating the linear parameters through the orthogonal projection. The proposed method not only substantially reduces the dimension of parameter space of RBF-ARX model but also results in a better-conditioned problem. In this paper, both the full Jacobian matrix of Golub and Pereyra and the Kaufman's simplification are used to test the performance of the algorithm. An example of chaotic time series modeling is presented for the numerical comparison. It clearly demonstrates that the proposed approach is computationally more efficient than the previous structured nonlinear parameter optimization method and the conventional Levenberg-Marquardt algorithm without the parameters separated. Finally, the proposed method is also applied to a simulated nonlinear single-input single-output process, a time-varying nonlinear process and a real multiinput multioutput nonlinear industrial process to illustrate its usefulness.
Piazza, C; Cantiani, C; Tacchino, G; Molteni, M; Reni, G; Bianchi, A M
2014-01-01
The ability to process rapidly-occurring auditory stimuli plays an important role in the mechanisms of language acquisition. For this reason, the research community has begun to investigate infant auditory processing, particularly using the Event Related Potentials (ERP) technique. In this paper we approach this issue by means of time domain and time-frequency domain analysis. For the latter, we propose the use of Adaptive Autoregressive (AAR) identification with spectral power decomposition. Results show EEG delta-theta oscillation enhancement related to the processing of acoustic frequency and duration changes, suggesting that, as expected, power modulation encodes rapid auditory processing (RAP) in infants and that the time-frequency analysis method proposed is able to identify this modulation.
Integer valued autoregressive processes with generalized discrete Mittag-Leffler marginals
Directory of Open Access Journals (Sweden)
Kanichukattu K. Jose
2013-05-01
Full Text Available In this paper we consider a generalization of discrete Mittag-Leffler distributions. We introduce and study the properties of a new distribution called geometric generalized discrete Mittag-Leffler distribution. Autoregressive processes with geometric generalized discrete Mittag-Leffler distributions are developed and studied. The distributions are further extended to develop a more general class of geometric generalized discrete semi-Mittag-Leffler distributions. The processes are extended to higher orders also. An application with respect to an empirical data on customer arrivals in a bank counter is also given. Various areas of potential applications like human resource development, insect growth, epidemic modeling, industrial risk modeling, insurance and actuaries, town planning etc are also discussed.
Packet loss replacement in voip using a recursive low-order autoregressive modelbased speech
International Nuclear Information System (INIS)
Miralavi, Seyed Reza; Ghorshi, Seyed; Mortazavi, Mohammad; Choupan, Jeiran
2011-01-01
In real-time packet-based communication systems one major problem is misrouted or delayed packets which results in degraded perceived voice quality. When some speech packets are not available on time, the packet is known as lost packet in real-time communication systems. The easiest task of a network terminal receiver is to replace silence for the duration of lost speech segments. In a high quality communication system in order to avoid quality reduction due to packet loss a suitable method and/or algorithm is needed to replace the missing segments of speech. In this paper, we introduce a recursive low order autoregressive (AR) model for replacement of lost speech segment. The evaluation results show that this method has a lower mean square error (MSE) and low complexity compared to the other efficient methods like high-order AR model without any substantial degradation in perceived voice quality.
Learning Action Models: Qualitative Approach
Bolander, T.; Gierasimczuk, N.; van der Hoek, W.; Holliday, W.H.; Wang, W.-F.
2015-01-01
In dynamic epistemic logic, actions are described using action models. In this paper we introduce a framework for studying learnability of action models from observations. We present first results concerning propositional action models. First we check two basic learnability criteria: finite
Maximum Likelihood Dynamic Factor Modeling for Arbitrary "N" and "T" Using SEM
Voelkle, Manuel C.; Oud, Johan H. L.; von Oertzen, Timo; Lindenberger, Ulman
2012-01-01
This article has 3 objectives that build on each other. First, we demonstrate how to obtain maximum likelihood estimates for dynamic factor models (the direct autoregressive factor score model) with arbitrary "T" and "N" by means of structural equation modeling (SEM) and compare the approach to existing methods. Second, we go beyond standard time…
modeling, observation and control, a multi-model approach
Elkhalil, Mansoura
2011-01-01
This thesis is devoted to the control of systems which dynamics can be suitably described by a multimodel approach from an investigation study of a model reference adaptative control performance enhancement. Four multimodel control approaches have been proposed. The first approach is based on an output reference model control design. A successful experimental validation involving a chemical reactor has been carried out. The second approach is based on a suitable partial state model reference ...
Global energy modeling - A biophysical approach
Energy Technology Data Exchange (ETDEWEB)
Dale, Michael
2010-09-15
This paper contrasts the standard economic approach to energy modelling with energy models using a biophysical approach. Neither of these approaches includes changing energy-returns-on-investment (EROI) due to declining resource quality or the capital intensive nature of renewable energy sources. Both of these factors will become increasingly important in the future. An extension to the biophysical approach is outlined which encompasses a dynamic EROI function that explicitly incorporates technological learning. The model is used to explore several scenarios of long-term future energy supply especially concerning the global transition to renewable energy sources in the quest for a sustainable energy system.
Application of vector autoregression model for Lithuanian inflation
Čuvak, Ana; Kalinauskas, Žilvinas
2009-01-01
Inflation is one of the crucial modern macroeconomic problems. Nowadays the issue of inflation is very relevant. Inflation is a constant and consistent increase in the general price level in the country, due to which the purchasing power of a national currency unit decreases. In practice, the measures of inflation are various price indices, such as a consumer price index (CPI), producer price index (PPI), or gross domestic product deflator. However, inflation is usually defined as a change in...
Least squares estimation in a simple random coefficient autoregressive model
DEFF Research Database (Denmark)
Johansen, S; Lange, T
2013-01-01
we prove the curious result that View the MathML source. The proof applies the notion of a tail index of sums of positive random variables with infinite variance to find the order of magnitude of View the MathML source and View the MathML source and hence the limit of View the MathML source...
Learning Actions Models: Qualitative Approach
DEFF Research Database (Denmark)
Bolander, Thomas; Gierasimczuk, Nina
2015-01-01
—they are identifiable in the limit.We then move on to a particular learning method, which proceeds via restriction of a space of events within a learning-specific action model. This way of learning closely resembles the well-known update method from dynamic epistemic logic. We introduce several different learning...... identifiability (conclusively inferring the appropriate action model in finite time) and identifiability in the limit (inconclusive convergence to the right action model). We show that deterministic actions are finitely identifiable, while non-deterministic actions require more learning power...... methods suited for finite identifiability of particular types of deterministic actions....
Autoregressive techniques for acoustic detection of in-sodium water leaks
International Nuclear Information System (INIS)
Hayashi, K.
1997-01-01
We have been applied a background signal whitening filter built by univariate autoregressive model to the estimation problem of the leak start time and duration. In the 1995 present benchmark stage, we evaluated the method using acoustic signals from real hydrogen or water/steam injection experiments. The results show that the signal processing technique using this filter can detect reliability the leak signals with a sufficient signal-to-noise ratio. Even if the sensor signal contains non-boiling or non-leak high-amplitude pulses, they can be classified by spectral information. Especially, the feature signal made from the time-frequency spectrum of the filtered signal is very sensitive and useful. (author). 8 refs, 14 figs, 6 tabs
The impact of oil-price shocks on Hawaii's economy: A case study using vector autoregression
International Nuclear Information System (INIS)
Gopalakrishnan, C.; Tian, X.; Tran, D.
1991-01-01
The effects of oil-price shocks on the macroeconomic performance of a non-oil-producing, oil-importing state are studied in terms of Hawaii's experience (1974-1986) using Vector Autoregression (VAR). The VAR model contains three macrovariables-real oil price, interest rate, and real GNP, and three regional variable-total civilian labor force, Honolulu consumer price index, and real personal income. The results suggested that oil-price shock had a positive effect on interest rate as well as local price (i.e., higher interest and higher local price), but a negative influence on real GNP. The negative income effect, however, was offset by the positive employment effect. The price of oil was found to be exogenous to all other variables in the system. The macrovariables exerted a pronounced impact on Hawaii's economy, most notably on consumer price
Autoregressive Integrated Adaptive Neural Networks Classifier for EEG-P300 Classification
Directory of Open Access Journals (Sweden)
Demi Soetraprawata
2013-06-01
Full Text Available Brain Computer Interface has a potency to be applied in mechatronics apparatus and vehicles in the future. Compared to the other techniques, EEG is the most preferred for BCI designs. In this paper, a new adaptive neural network classifier of different mental activities from EEG-based P300 signals is proposed. To overcome the over-training that is caused by noisy and non-stationary data, the EEG signals are filtered and extracted using autoregressive models before passed to the adaptive neural networks classifier. To test the improvement in the EEG classification performance with the proposed method, comparative experiments were conducted using Bayesian Linear Discriminant Analysis. The experiment results show that the all subjects achieve a classification accuracy of 100%.
DEFF Research Database (Denmark)
Lassen Kaspersen, Line; Føyn, Tullik Helene Ystanes
autoregressive (VAR) model is presented. The prices of Robusta coffee and sorghum are examined, as both of these crops are important for the domestic economy of Uganda – Robusta as a cash crop, mainly traded internationally, and sorghum for consumption at household level. The analysis focuses on the spatial...... factor for price transmission within the country. However, the case is a bit different for the cash crop, Robusta coffee. In the period in the 1990’s with high coffee prices on the world market, prices in Uganda were strongly connected to world prices, and did not depend on the oil price. This indicates...... indicates that rising food prices (of little-traded crops) on world markets will not have a direct effect on food prices in Uganda....
A Unified Approach to Modeling and Programming
DEFF Research Database (Denmark)
Madsen, Ole Lehrmann; Møller-Pedersen, Birger
2010-01-01
of this paper is to go back to the future and get inspiration from SIMULA and propose a unied approach. In addition to reintroducing the contributions of SIMULA and the Scandinavian approach to object-oriented programming, we do this by discussing a number of issues in modeling and programming and argue3 why we......SIMULA was a language for modeling and programming and provided a unied approach to modeling and programming in contrast to methodologies based on structured analysis and design. The current development seems to be going in the direction of separation of modeling and programming. The goal...
ECONOMETRIC APPROACH TO DIFFERENCE EQUATIONS MODELING OF EXCHANGE RATES CHANGES
Directory of Open Access Journals (Sweden)
Josip Arnerić
2010-12-01
Full Text Available Time series models that are commonly used in econometric modeling are autoregressive stochastic linear models (AR and models of moving averages (MA. Mentioned models by their structure are actually stochastic difference equations. Therefore, the objective of this paper is to estimate difference equations containing stochastic (random component. Estimated models of time series will be used to forecast observed data in the future. Namely, solutions of difference equations are closely related to conditions of stationary time series models. Based on the fact that volatility is time varying in high frequency data and that periods of high volatility tend to cluster, the most successful and popular models in modeling time varying volatility are GARCH type models and their variants. However, GARCH models will not be analyzed because the purpose of this research is to predict the value of the exchange rate in the levels within conditional mean equation and to determine whether the observed variable has a stable or explosive time path. Based on the estimated difference equation it will be examined whether Croatia is implementing a stable policy of exchange rates.
Szekeres models: a covariant approach
Apostolopoulos, Pantelis S.
2017-05-01
We exploit the 1 + 1 + 2 formalism to covariantly describe the inhomogeneous and anisotropic Szekeres models. It is shown that an average scale length can be defined covariantly which satisfies a 2d equation of motion driven from the effective gravitational mass (EGM) contained in the dust cloud. The contributions to the EGM are encoded to the energy density of the dust fluid and the free gravitational field E ab . We show that the quasi-symmetric property of the Szekeres models is justified through the existence of 3 independent intrinsic Killing vector fields (IKVFs). In addition the notions of the apparent and absolute apparent horizons are briefly discussed and we give an alternative gauge-invariant form to define them in terms of the kinematical variables of the spacelike congruences. We argue that the proposed program can be used in order to express Sachs’ optical equations in a covariant form and analyze the confrontation of a spatially inhomogeneous irrotational overdense fluid model with the observational data.
International Nuclear Information System (INIS)
Iwama, N.; Inoue, A.; Tsukishima, T.; Sato, M.; Kawahata, K.
1981-07-01
A new procedure for the maximum entropy spectral estimation is studied for the purpose of data processing in Fourier transform spectroscopy. The autoregressive model fitting is examined under a least squares criterion based on the Yule-Walker equations. An AIC-like criterion is suggested for selecting the model order. The principal advantage of the new procedure lies in the enhanced frequency resolution particularly for small values of the maximum optical path-difference of the interferogram. The usefulness of the procedure is ascertained by some numerical simulations and further by experiments with respect to a highly coherent submillimeter wave and the electron cyclotron emission from a stellarator plasma. (author)
Multiple Model Approaches to Modelling and Control,
DEFF Research Database (Denmark)
appeal in building systems which operate robustly over a wide range of operating conditions by decomposing them into a number of simplerlinear modelling or control problems, even for nonlinear modelling or control problems. This appeal has been a factor in the development of increasinglypopular `local...... to problems in the process industries, biomedical applications and autonomoussystems. The successful application of the ideas to demanding problems is already encouraging, but creative development of the basic framework isneeded to better allow the integration of human knowledge with automated learning....... The underlying question is `How should we partition the system - what is `local'?'. This book presents alternative ways of bringing submodels together,which lead to varying levels of performance and insight. Some are further developed for autonomous learning of parameters from data, while others havefocused...
Modeling software behavior a craftsman's approach
Jorgensen, Paul C
2009-01-01
A common problem with most texts on requirements specifications is that they emphasize structural models to the near exclusion of behavioral models-focusing on what the software is, rather than what it does. If they do cover behavioral models, the coverage is brief and usually focused on a single model. Modeling Software Behavior: A Craftsman's Approach provides detailed treatment of various models of software behavior that support early analysis, comprehension, and model-based testing. Based on the popular and continually evolving course on requirements specification models taught by the auth
Time-Varying Combinations of Bayesian Dynamic Models and Equity Momentum Strategies
N. Basturk (Nalan); S. Grassi (Stefano); L.F. Hoogerheide (Lennart); H.K. van Dijk (Herman)
2016-01-01
markdownabstractA novel dynamic asset-allocation approach is proposed where portfolios as well as portfolio strategies are updated at every decision period based on their past performance. For modeling, a general class of models is specified that combines a dynamic factor and a vector autoregressive
Identification of Civil Engineering Structures using Multivariate ARMAV and RARMAV Models
DEFF Research Database (Denmark)
Kirkegaard, Poul Henning; Andersen, P.; Brincker, Rune
This paper presents how to make system identification of civil engineering structures using multivariate auto-regressive moving-average vector (ARMAV) models. Further, the ARMAV technique is extended to a recursive technique (RARMAV). The ARMAV model is used to identify measured stationary data....... The results show the usefulness of the approaches for identification of civil engineering structures excited by natural excitation...
System Behavior Models: A Survey of Approaches
2016-06-01
the Petri model allowed a quick assessment of all potential states but was more cumbersome to build than the MP model. A comparison of approaches...identical state space results. The combined state space graph of the Petri model allowed a quick assessment of all potential states but was more...59 INITIAL DISTRIBUTION LIST ...................................................................................65 ix LIST
Current approaches to gene regulatory network modelling
Directory of Open Access Journals (Sweden)
Brazma Alvis
2007-09-01
Full Text Available Abstract Many different approaches have been developed to model and simulate gene regulatory networks. We proposed the following categories for gene regulatory network models: network parts lists, network topology models, network control logic models, and dynamic models. Here we will describe some examples for each of these categories. We will study the topology of gene regulatory networks in yeast in more detail, comparing a direct network derived from transcription factor binding data and an indirect network derived from genome-wide expression data in mutants. Regarding the network dynamics we briefly describe discrete and continuous approaches to network modelling, then describe a hybrid model called Finite State Linear Model and demonstrate that some simple network dynamics can be simulated in this model.
Sparse time series chain graphical models for reconstructing genetic networks
Abegaz, Fentaw; Wit, Ernst
We propose a sparse high-dimensional time series chain graphical model for reconstructing genetic networks from gene expression data parametrized by a precision matrix and autoregressive coefficient matrix. We consider the time steps as blocks or chains. The proposed approach explores patterns of
Distributed simulation a model driven engineering approach
Topçu, Okan; Oğuztüzün, Halit; Yilmaz, Levent
2016-01-01
Backed by substantive case studies, the novel approach to software engineering for distributed simulation outlined in this text demonstrates the potent synergies between model-driven techniques, simulation, intelligent agents, and computer systems development.
Validation of Modeling Flow Approaching Navigation Locks
2013-08-01
USACE, Pittsburgh District ( LRP ) requested that the US Army Engineer Research and Development Center, Coastal and ERDC/CHL TR-13-9 2 Hydraulics...approaching the lock and dam. The second set of experiments considered a design, referred to as Plan B lock approach, which contained the weir field in...conditions and model parameters A discharge of 1.35 cfs was set as the inflow boundary condition at the upstream end of the model. The outflow boundary was
Estimating Money Demand Function in Cambodia: ARDL Approach
Samreth, Sovannroeun
2008-01-01
This paper empirically estimates the money demand function in Cambodia. We adopt the money demand model that includes exchange rate. For the analysis, Autoregressive Distributed Lag (ARDL) approach to cointegration is employed. Our results indicate that there is cointegration among variables in money demand function. CUSUM and CUSUMSQ tests roughly support the stability of estimated model. However, in the long-run, even the sign of estimated coefficient of exchange rate support the currency s...
Directory of Open Access Journals (Sweden)
Fabyano Fonseca e Silva
2011-04-01
Full Text Available The animal breeding values forecasting at futures times is a relevant technological innovation in the field of Animal Science, since its enables a previous indication of animals that will be either kept by the producer for breeding purposes or discarded. This study discusses an MCMC Bayesian methodology applied to panel data in a time series context. We consider Bayesian analysis of an autoregressive, AR(p, panel data model of order p, using an exact likelihood function, comparative analysis of prior distributions and predictive distributions of future observations. The methodology was tested by a simulation study using three priors: hierarchical Multivariate Normal-Inverse Gamma (model 1, independent Multivariate Student's t Inverse Gamma (model 2 and Jeffrey's (model 3. Comparisons by Pseudo-Bayes Factor favored model 2. The proposed methodology was applied to longitudinal data relative to Expected Progeny Difference (EPD of beef cattle sires. The forecast efficiency was around 80%. Regarding the mean width of the EPD interval estimation (95% in a future time, a great advantage was observed for the proposed Bayesian methodology over usual asymptotic frequentist method.A previsão dos valores genéticos de animais em tempos futuros constitui importante inovação tecnológica para a área de Zootecnia, uma vez que possibilita planejar com antecedência o descarte ou a manutenção de animais no rebanho. No presente estudo considerou-se uma análise Bayesiana de modelos auto-regressivos de ordem p, AR(p, para dados em painel, de forma a utilizar a função de verossimilhança exata, a análise de comparação de distribuições a priori e a obtenção de distribuições preditivas de dados futuros. A metodologia utilizada foi testada mediante um estudo de simulação usando a priori hierárquica Normal multivariada-Gama inversa (modelo 1, a priori independente t-Student Gama inversa (modelo 2 e a priori de Jeffreys (modelo 3. As compara
Risk Modelling for Passages in Approach Channel
Directory of Open Access Journals (Sweden)
Leszek Smolarek
2013-01-01
Full Text Available Methods of multivariate statistics, stochastic processes, and simulation methods are used to identify and assess the risk measures. This paper presents the use of generalized linear models and Markov models to study risks to ships along the approach channel. These models combined with simulation testing are used to determine the time required for continuous monitoring of endangered objects or period at which the level of risk should be verified.
Towards new approaches in phenological modelling
Chmielewski, Frank-M.; Götz, Klaus-P.; Rawel, Harshard M.; Homann, Thomas
2014-05-01
Modelling of phenological stages is based on temperature sums for many decades, describing both the chilling and the forcing requirement of woody plants until the beginning of leafing or flowering. Parts of this approach go back to Reaumur (1735), who originally proposed the concept of growing degree-days. Now, there is a growing body of opinion that asks for new methods in phenological modelling and more in-depth studies on dormancy release of woody plants. This requirement is easily understandable if we consider the wide application of phenological models, which can even affect the results of climate models. To this day, in phenological models still a number of parameters need to be optimised on observations, although some basic physiological knowledge of the chilling and forcing requirement of plants is already considered in these approaches (semi-mechanistic models). Limiting, for a fundamental improvement of these models, is the lack of knowledge about the course of dormancy in woody plants, which cannot be directly observed and which is also insufficiently described in the literature. Modern metabolomic methods provide a solution for this problem and allow both, the validation of currently used phenological models as well as the development of mechanistic approaches. In order to develop this kind of models, changes of metabolites (concentration, temporal course) must be set in relation to the variability of environmental (steering) parameters (weather, day length, etc.). This necessarily requires multi-year (3-5 yr.) and high-resolution (weekly probes between autumn and spring) data. The feasibility of this approach has already been tested in a 3-year pilot-study on sweet cherries. Our suggested methodology is not only limited to the flowering of fruit trees, it can be also applied to tree species of the natural vegetation, where even greater deficits in phenological modelling exist.
International Nuclear Information System (INIS)
Yu, Jie; Chen, Kuilin; Mori, Junichi; Rashid, Mudassir M.
2013-01-01
Optimizing wind power generation and controlling the operation of wind turbines to efficiently harness the renewable wind energy is a challenging task due to the intermittency and unpredictable nature of wind speed, which has significant influence on wind power production. A new approach for long-term wind speed forecasting is developed in this study by integrating GMCM (Gaussian mixture copula model) and localized GPR (Gaussian process regression). The time series of wind speed is first classified into multiple non-Gaussian components through the Gaussian mixture copula model and then Bayesian inference strategy is employed to incorporate the various non-Gaussian components using the posterior probabilities. Further, the localized Gaussian process regression models corresponding to different non-Gaussian components are built to characterize the stochastic uncertainty and non-stationary seasonality of the wind speed data. The various localized GPR models are integrated through the posterior probabilities as the weightings so that a global predictive model is developed for the prediction of wind speed. The proposed GMCM–GPR approach is demonstrated using wind speed data from various wind farm locations and compared against the GMCM-based ARIMA (auto-regressive integrated moving average) and SVR (support vector regression) methods. In contrast to GMCM–ARIMA and GMCM–SVR methods, the proposed GMCM–GPR model is able to well characterize the multi-seasonality and uncertainty of wind speed series for accurate long-term prediction. - Highlights: • A novel predictive modeling method is proposed for long-term wind speed forecasting. • Gaussian mixture copula model is estimated to characterize the multi-seasonality. • Localized Gaussian process regression models can deal with the random uncertainty. • Multiple GPR models are integrated through Bayesian inference strategy. • The proposed approach shows higher prediction accuracy and reliability
SLS Navigation Model-Based Design Approach
Oliver, T. Emerson; Anzalone, Evan; Geohagan, Kevin; Bernard, Bill; Park, Thomas
2018-01-01
The SLS Program chose to implement a Model-based Design and Model-based Requirements approach for managing component design information and system requirements. This approach differs from previous large-scale design efforts at Marshall Space Flight Center where design documentation alone conveyed information required for vehicle design and analysis and where extensive requirements sets were used to scope and constrain the design. The SLS Navigation Team has been responsible for the Program-controlled Design Math Models (DMMs) which describe and represent the performance of the Inertial Navigation System (INS) and the Rate Gyro Assemblies (RGAs) used by Guidance, Navigation, and Controls (GN&C). The SLS Navigation Team is also responsible for the navigation algorithms. The navigation algorithms are delivered for implementation on the flight hardware as a DMM. For the SLS Block 1-B design, the additional GPS Receiver hardware is managed as a DMM at the vehicle design level. This paper provides a discussion of the processes and methods used to engineer, design, and coordinate engineering trades and performance assessments using SLS practices as applied to the GN&C system, with a particular focus on the Navigation components. These include composing system requirements, requirements verification, model development, model verification and validation, and modeling and analysis approaches. The Model-based Design and Requirements approach does not reduce the effort associated with the design process versus previous processes used at Marshall Space Flight Center. Instead, the approach takes advantage of overlap between the requirements development and management process, and the design and analysis process by efficiently combining the control (i.e. the requirement) and the design mechanisms. The design mechanism is the representation of the component behavior and performance in design and analysis tools. The focus in the early design process shifts from the development and
A Real Valued Neural Network Based Autoregressive Energy Detector for Cognitive Radio Application.
Onumanyi, A J; Onwuka, E N; Aibinu, A M; Ugweje, O C; Salami, M J E
2014-01-01
A real valued neural network (RVNN) based energy detector (ED) is proposed and analyzed for cognitive radio (CR) application. This was developed using a known two-layered RVNN model to estimate the model coefficients of an autoregressive (AR) system. By using appropriate modules and a well-designed detector, the power spectral density (PSD) of the AR system transfer function was estimated and subsequent receiver operating characteristic (ROC) curves of the detector generated and analyzed. A high detection performance with low false alarm rate was observed for varying signal to noise ratio (SNR), sample number, and model order conditions. The proposed RVNN based ED was then compared to the simple periodogram (SP), Welch periodogram (WP), multitaper (MT), Yule-Walker (YW), Burg (BG), and covariance (CV) based ED techniques. The proposed detector showed better performance than the SP, WP, and MT while providing better false alarm performance than the YW, BG, and CV. Data provided here support the effectiveness of the proposed RVNN based ED for CR application.
Sensor network based solar forecasting using a local vector autoregressive ridge framework
Energy Technology Data Exchange (ETDEWEB)
Xu, J. [Stony Brook Univ., NY (United States); Yoo, S. [Brookhaven National Lab. (BNL), Upton, NY (United States); Heiser, J. [Brookhaven National Lab. (BNL), Upton, NY (United States); Kalb, P. [Brookhaven National Lab. (BNL), Upton, NY (United States)
2016-04-04
The significant improvements and falling costs of photovoltaic (PV) technology make solar energy a promising resource, yet the cloud induced variability of surface solar irradiance inhibits its effective use in grid-tied PV generation. Short-term irradiance forecasting, especially on the minute scale, is critically important for grid system stability and auxiliary power source management. Compared to the trending sky imaging devices, irradiance sensors are inexpensive and easy to deploy but related forecasting methods have not been well researched. The prominent challenge of applying classic time series models on a network of irradiance sensors is to address their varying spatio-temporal correlations due to local changes in cloud conditions. We propose a local vector autoregressive framework with ridge regularization to forecast irradiance without explicitly determining the wind field or cloud movement. By using local training data, our learned forecast model is adaptive to local cloud conditions and by using regularization, we overcome the risk of overfitting from the limited training data. Our systematic experimental results showed an average of 19.7% RMSE and 20.2% MAE improvement over the benchmark Persistent Model for 1-5 minute forecasts on a comprehensive 25-day dataset.
A Conceptual Modeling Approach for OLAP Personalization
Garrigós, Irene; Pardillo, Jesús; Mazón, Jose-Norberto; Trujillo, Juan
Data warehouses rely on multidimensional models in order to provide decision makers with appropriate structures to intuitively analyze data with OLAP technologies. However, data warehouses may be potentially large and multidimensional structures become increasingly complex to be understood at a glance. Even if a departmental data warehouse (also known as data mart) is used, these structures would be also too complex. As a consequence, acquiring the required information is more costly than expected and decision makers using OLAP tools may get frustrated. In this context, current approaches for data warehouse design are focused on deriving a unique OLAP schema for all analysts from their previously stated information requirements, which is not enough to lighten the complexity of the decision making process. To overcome this drawback, we argue for personalizing multidimensional models for OLAP technologies according to the continuously changing user characteristics, context, requirements and behaviour. In this paper, we present a novel approach to personalizing OLAP systems at the conceptual level based on the underlying multidimensional model of the data warehouse, a user model and a set of personalization rules. The great advantage of our approach is that a personalized OLAP schema is provided for each decision maker contributing to better satisfy their specific analysis needs. Finally, we show the applicability of our approach through a sample scenario based on our CASE tool for data warehouse development.
Men, Zhongxian; Yee, Eugene; Lien, Fue-Sang; Yang, Zhiling; Liu, Yongqian
2014-01-01
Short-term wind speed and wind power forecasts (for a 72 h period) are obtained using a nonlinear autoregressive exogenous artificial neural network (ANN) methodology which incorporates either numerical weather prediction or high-resolution computational fluid dynamics wind field information as an exogenous input. An ensemble approach is used to combine the predictions from many candidate ANNs in order to provide improved forecasts for wind speed and power, along with the associated uncertainties in these forecasts. More specifically, the ensemble ANN is used to quantify the uncertainties arising from the network weight initialization and from the unknown structure of the ANN. All members forming the ensemble of neural networks were trained using an efficient particle swarm optimization algorithm. The results of the proposed methodology are validated using wind speed and wind power data obtained from an operational wind farm located in Northern China. The assessment demonstrates that this methodology for wind speed and power forecasting generally provides an improvement in predictive skills when compared to the practice of using an "optimal" weight vector from a single ANN while providing additional information in the form of prediction uncertainty bounds.
Lien, Fue-Sang; Yang, Zhiling; Liu, Yongqian
2014-01-01
Short-term wind speed and wind power forecasts (for a 72 h period) are obtained using a nonlinear autoregressive exogenous artificial neural network (ANN) methodology which incorporates either numerical weather prediction or high-resolution computational fluid dynamics wind field information as an exogenous input. An ensemble approach is used to combine the predictions from many candidate ANNs in order to provide improved forecasts for wind speed and power, along with the associated uncertainties in these forecasts. More specifically, the ensemble ANN is used to quantify the uncertainties arising from the network weight initialization and from the unknown structure of the ANN. All members forming the ensemble of neural networks were trained using an efficient particle swarm optimization algorithm. The results of the proposed methodology are validated using wind speed and wind power data obtained from an operational wind farm located in Northern China. The assessment demonstrates that this methodology for wind speed and power forecasting generally provides an improvement in predictive skills when compared to the practice of using an “optimal” weight vector from a single ANN while providing additional information in the form of prediction uncertainty bounds. PMID:27382627
Neural network approaches for noisy language modeling.
Li, Jun; Ouazzane, Karim; Kazemian, Hassan B; Afzal, Muhammad Sajid
2013-11-01
Text entry from people is not only grammatical and distinct, but also noisy. For example, a user's typing stream contains all the information about the user's interaction with computer using a QWERTY keyboard, which may include the user's typing mistakes as well as specific vocabulary, typing habit, and typing performance. In particular, these features are obvious in disabled users' typing streams. This paper proposes a new concept called noisy language modeling by further developing information theory and applies neural networks to one of its specific application-typing stream. This paper experimentally uses a neural network approach to analyze the disabled users' typing streams both in general and specific ways to identify their typing behaviors and subsequently, to make typing predictions and typing corrections. In this paper, a focused time-delay neural network (FTDNN) language model, a time gap model, a prediction model based on time gap, and a probabilistic neural network model (PNN) are developed. A 38% first hitting rate (HR) and a 53% first three HR in symbol prediction are obtained based on the analysis of a user's typing history through the FTDNN language modeling, while the modeling results using the time gap prediction model and the PNN model demonstrate that the correction rates lie predominantly in between 65% and 90% with the current testing samples, and 70% of all test scores above basic correction rates, respectively. The modeling process demonstrates that a neural network is a suitable and robust language modeling tool to analyze the noisy language stream. The research also paves the way for practical application development in areas such as informational analysis, text prediction, and error correction by providing a theoretical basis of neural network approaches for noisy language modeling.
A Stochastic Approach to Noise Modeling for Barometric Altimeters
Directory of Open Access Journals (Sweden)
Angelo Maria Sabatini
2013-11-01
Full Text Available The question whether barometric altimeters can be applied to accurately track human motions is still debated, since their measurement performance are rather poor due to either coarse resolution or drifting behavior problems. As a step toward accurate short-time tracking of changes in height (up to few minutes, we develop a stochastic model that attempts to capture some statistical properties of the barometric altimeter noise. The barometric altimeter noise is decomposed in three components with different physical origin and properties: a deterministic time-varying mean, mainly correlated with global environment changes, and a first-order Gauss-Markov (GM random process, mainly accounting for short-term, local environment changes, the effects of which are prominent, respectively, for long-time and short-time motion tracking; an uncorrelated random process, mainly due to wideband electronic noise, including quantization noise. Autoregressive-moving average (ARMA system identification techniques are used to capture the correlation structure of the piecewise stationary GM component, and to estimate its standard deviation, together with the standard deviation of the uncorrelated component. M-point moving average filters used alone or in combination with whitening filters learnt from ARMA model parameters are further tested in few dynamic motion experiments and discussed for their capability of short-time tracking small-amplitude, low-frequency motions.
Heat transfer modeling an inductive approach
Sidebotham, George
2015-01-01
This innovative text emphasizes a "less-is-more" approach to modeling complicated systems such as heat transfer by treating them first as "1-node lumped models" that yield simple closed-form solutions. The author develops numerical techniques for students to obtain more detail, but also trains them to use the techniques only when simpler approaches fail. Covering all essential methods offered in traditional texts, but with a different order, Professor Sidebotham stresses inductive thinking and problem solving as well as a constructive understanding of modern, computer-based practice. Readers learn to develop their own code in the context of the material, rather than just how to use packaged software, offering a deeper, intrinsic grasp behind models of heat transfer. Developed from over twenty-five years of lecture notes to teach students of mechanical and chemical engineering at The Cooper Union for the Advancement of Science and Art, the book is ideal for students and practitioners across engineering discipl...
Alegana, Victor A.; Atkinson, Peter M.; Wright, Jim A.; Kamwi, Richard; Uusiku, Petrina; Katokele, Stark; Snow, Robert W.; Noor, Abdisalan M.
2013-01-01
As malaria transmission declines, it becomes increasingly important to monitor changes in malaria incidence rather than prevalence. Here, a spatio-temporal model was used to identify constituencies with high malaria incidence to guide malaria control. Malaria cases were assembled across all age groups along with several environmental covariates. A Bayesian conditional-autoregressive model was used to model the spatial and temporal variation of incidence after adjusting for test positivity rates and health facility utilisation. Of the 144,744 malaria cases recorded in Namibia in 2009, 134,851 were suspected and 9893 were parasitologically confirmed. The mean annual incidence based on the Bayesian model predictions was 13 cases per 1000 population with the highest incidence predicted for constituencies bordering Angola and Zambia. The smoothed maps of incidence highlight trends in disease incidence. For Namibia, the 2009 maps provide a baseline for monitoring the targets of pre-elimination. PMID:24238079
A multiscale modeling approach for biomolecular systems
Energy Technology Data Exchange (ETDEWEB)
Bowling, Alan, E-mail: bowling@uta.edu; Haghshenas-Jaryani, Mahdi, E-mail: mahdi.haghshenasjaryani@mavs.uta.edu [The University of Texas at Arlington, Department of Mechanical and Aerospace Engineering (United States)
2015-04-15
This paper presents a new multiscale molecular dynamic model for investigating the effects of external interactions, such as contact and impact, during stepping and docking of motor proteins and other biomolecular systems. The model retains the mass properties ensuring that the result satisfies Newton’s second law. This idea is presented using a simple particle model to facilitate discussion of the rigid body model; however, the particle model does provide insights into particle dynamics at the nanoscale. The resulting three-dimensional model predicts a significant decrease in the effect of the random forces associated with Brownian motion. This conclusion runs contrary to the widely accepted notion that the motor protein’s movements are primarily the result of thermal effects. This work focuses on the mechanical aspects of protein locomotion; the effect ATP hydrolysis is estimated as internal forces acting on the mechanical model. In addition, the proposed model can be numerically integrated in a reasonable amount of time. Herein, the differences between the motion predicted by the old and new modeling approaches are compared using a simplified model of myosin V.
Quasirelativistic quark model in quasipotential approach
Matveev, V A; Savrin, V I; Sissakian, A N
2002-01-01
The relativistic particles interaction is described within the frames of quasipotential approach. The presentation is based on the so called covariant simultaneous formulation of the quantum field theory, where by the theory is considered on the spatial-like three-dimensional hypersurface in the Minkowski space. Special attention is paid to the methods of plotting various quasipotentials as well as to the applications of the quasipotential approach to describing the characteristics of the relativistic particles interaction in the quark models, namely: the hadrons elastic scattering amplitudes, the mass spectra and widths mesons decays, the cross sections of the deep inelastic leptons scattering on the hadrons
A new approach for developing adjoint models
Farrell, P. E.; Funke, S. W.
2011-12-01
Many data assimilation algorithms rely on the availability of gradients of misfit functionals, which can be efficiently computed with adjoint models. However, the development of an adjoint model for a complex geophysical code is generally very difficult. Algorithmic differentiation (AD, also called automatic differentiation) offers one strategy for simplifying this task: it takes the abstraction that a model is a sequence of primitive instructions, each of which may be differentiated in turn. While extremely successful, this low-level abstraction runs into time-consuming difficulties when applied to the whole codebase of a model, such as differentiating through linear solves, model I/O, calls to external libraries, language features that are unsupported by the AD tool, and the use of multiple programming languages. While these difficulties can be overcome, it requires a large amount of technical expertise and an intimate familiarity with both the AD tool and the model. An alternative to applying the AD tool to the whole codebase is to assemble the discrete adjoint equations and use these to compute the necessary gradients. With this approach, the AD tool must be applied to the nonlinear assembly operators, which are typically small, self-contained units of the codebase. The disadvantage of this approach is that the assembly of the discrete adjoint equations is still very difficult to perform correctly, especially for complex multiphysics models that perform temporal integration; as it stands, this approach is as difficult and time-consuming as applying AD to the whole model. In this work, we have developed a library which greatly simplifies and automates the alternate approach of assembling the discrete adjoint equations. We propose a complementary, higher-level abstraction to that of AD: that a model is a sequence of linear solves. The developer annotates model source code with library calls that build a 'tape' of the operators involved and their dependencies, and
An equilibrium approach to modelling social interaction
Gallo, Ignacio
2009-07-01
The aim of this work is to put forward a statistical mechanics theory of social interaction, generalizing econometric discrete choice models. After showing the formal equivalence linking econometric multinomial logit models to equilibrium statical mechanics, a multi-population generalization of the Curie-Weiss model for ferromagnets is considered as a starting point in developing a model capable of describing sudden shifts in aggregate human behaviour. Existence of the thermodynamic limit for the model is shown by an asymptotic sub-additivity method and factorization of correlation functions is proved almost everywhere. The exact solution of the model is provided in the thermodynamical limit by finding converging upper and lower bounds for the system's pressure, and the solution is used to prove an analytic result regarding the number of possible equilibrium states of a two-population system. The work stresses the importance of linking regimes predicted by the model to real phenomena, and to this end it proposes two possible procedures to estimate the model's parameters starting from micro-level data. These are applied to three case studies based on census type data: though these studies are found to be ultimately inconclusive on an empirical level, considerations are drawn that encourage further refinements of the chosen modelling approach.
A multilevel nonlinear mixed-effects approach to model growth in pigs
DEFF Research Database (Denmark)
Strathe, Anders Bjerring; Danfær, Allan Christian; Sørensen, H.
2010-01-01
Growth functions have been used to predict market weight of pigs and maximize return over feed costs. This study was undertaken to compare 4 growth functions and methods of analyzing data, particularly one that considers nonlinear repeated measures. Data were collected from an experiment with 40...... pigs maintained from birth to maturity and their BW measured weekly or every 2 wk up to 1,007 d. Gompertz, logistic, Bridges, and Lopez functions were fitted to the data and compared using information criteria. For each function, a multilevel nonlinear mixed effects model was employed because....... Furthermore, studies should consider adding continuous autoregressive process when analyzing nonlinear mixed models with repeated measures....
Porta, Alberto; Bari, Vlasta; Ranuzzi, Giovanni; De Maria, Beatrice; Baselli, Giuseppe
2017-09-01
We propose a multiscale complexity (MSC) method assessing irregularity in assigned frequency bands and being appropriate for analyzing the short time series. It is grounded on the identification of the coefficients of an autoregressive model, on the computation of the mean position of the poles generating the components of the power spectral density in an assigned frequency band, and on the assessment of its distance from the unit circle in the complex plane. The MSC method was tested on simulations and applied to the short heart period (HP) variability series recorded during graded head-up tilt in 17 subjects (age from 21 to 54 years, median = 28 years, 7 females) and during paced breathing protocols in 19 subjects (age from 27 to 35 years, median = 31 years, 11 females) to assess the contribution of time scales typical of the cardiac autonomic control, namely in low frequency (LF, from 0.04 to 0.15 Hz) and high frequency (HF, from 0.15 to 0.5 Hz) bands to the complexity of the cardiac regulation. The proposed MSC technique was compared to a traditional model-free multiscale method grounded on information theory, i.e., multiscale entropy (MSE). The approach suggests that the reduction of HP variability complexity observed during graded head-up tilt is due to a regularization of the HP fluctuations in LF band via a possible intervention of sympathetic control and the decrement of HP variability complexity observed during slow breathing is the result of the regularization of the HP variations in both LF and HF bands, thus implying the action of physiological mechanisms working at time scales even different from that of respiration. MSE did not distinguish experimental conditions at time scales larger than 1. Over a short time series MSC allows a more insightful association between cardiac control complexity and physiological mechanisms modulating cardiac rhythm compared to a more traditional tool such as MSE.
BAYESIAN APPROACH TO EVALUATE THE IMPACT OF EXTERNAL SHOCKS ON RUSSIAN MACROECONOMICS INDICATORS
Directory of Open Access Journals (Sweden)
Shevelev A. A.
2017-03-01
Full Text Available One of the promising approaches of macroeconomic modeling and quantitative assessment of the impact of external and internal factors on macroeconomy of a country, which is actively used abroad, is a Bayesian approach to the estimation of vector autoregressions. In this paper we examine Bayesian vector autoregression model (BVAR to assess the impact of external shocks, such as the price of Brent crude oil, the volatility index VIX and the Shanghai Stock Exchange Composite index, on Russian macroeconomic indicators. The results allow us to estimate the contribution of external factors as a significant in the dynamics of Russia economic variables. This approach can be successfully applied for the analysis of Russian data, which was confirmed by the results presented in the article.
Evolutionary modeling-based approach for model errors correction
Directory of Open Access Journals (Sweden)
S. Q. Wan
2012-08-01
Full Text Available The inverse problem of using the information of historical data to estimate model errors is one of the science frontier research topics. In this study, we investigate such a problem using the classic Lorenz (1963 equation as a prediction model and the Lorenz equation with a periodic evolutionary function as an accurate representation of reality to generate "observational data."
On the basis of the intelligent features of evolutionary modeling (EM, including self-organization, self-adaptive and self-learning, the dynamic information contained in the historical data can be identified and extracted by computer automatically. Thereby, a new approach is proposed to estimate model errors based on EM in the present paper. Numerical tests demonstrate the ability of the new approach to correct model structural errors. In fact, it can actualize the combination of the statistics and dynamics to certain extent.
MODELS OF TECHNOLOGY ADOPTION: AN INTEGRATIVE APPROACH
Directory of Open Access Journals (Sweden)
Andrei OGREZEANU
2015-06-01
Full Text Available The interdisciplinary study of information technology adoption has developed rapidly over the last 30 years. Various theoretical models have been developed and applied such as: the Technology Acceptance Model (TAM, Innovation Diffusion Theory (IDT, Theory of Planned Behavior (TPB, etc. The result of these many years of research is thousands of contributions to the field, which, however, remain highly fragmented. This paper develops a theoretical model of technology adoption by integrating major theories in the field: primarily IDT, TAM, and TPB. To do so while avoiding mess, an approach that goes back to basics in independent variable type’s development is proposed; emphasizing: 1 the logic of classification, and 2 psychological mechanisms behind variable types. Once developed these types are then populated with variables originating in empirical research. Conclusions are developed on which types are underpopulated and present potential for future research. I end with a set of methodological recommendations for future application of the model.
Interfacial Fluid Mechanics A Mathematical Modeling Approach
Ajaev, Vladimir S
2012-01-01
Interfacial Fluid Mechanics: A Mathematical Modeling Approach provides an introduction to mathematical models of viscous flow used in rapidly developing fields of microfluidics and microscale heat transfer. The basic physical effects are first introduced in the context of simple configurations and their relative importance in typical microscale applications is discussed. Then,several configurations of importance to microfluidics, most notably thin films/droplets on substrates and confined bubbles, are discussed in detail. Topics from current research on electrokinetic phenomena, liquid flow near structured solid surfaces, evaporation/condensation, and surfactant phenomena are discussed in the later chapters. This book also: Discusses mathematical models in the context of actual applications such as electrowetting Includes unique material on fluid flow near structured surfaces and phase change phenomena Shows readers how to solve modeling problems related to microscale multiphase flows Interfacial Fluid Me...
Continuum modeling an approach through practical examples
Muntean, Adrian
2015-01-01
This book develops continuum modeling skills and approaches the topic from three sides: (1) derivation of global integral laws together with the associated local differential equations, (2) design of constitutive laws and (3) modeling boundary processes. The focus of this presentation lies on many practical examples covering aspects such as coupled flow, diffusion and reaction in porous media or microwave heating of a pizza, as well as traffic issues in bacterial colonies and energy harvesting from geothermal wells. The target audience comprises primarily graduate students in pure and applied mathematics as well as working practitioners in engineering who are faced by nonstandard rheological topics like those typically arising in the food industry.
Susanti, D.; Hartini, E.; Permana, A.
2017-01-01
Sale and purchase of the growing competition between companies in Indonesian, make every company should have a proper planning in order to win the competition with other companies. One of the things that can be done to design the plan is to make car sales forecast for the next few periods, it’s required that the amount of inventory of cars that will be sold in proportion to the number of cars needed. While to get the correct forecasting, on of the methods that can be used is the method of Adaptive Spline Threshold Autoregression (ASTAR). Therefore, this time the discussion will focus on the use of Adaptive Spline Threshold Autoregression (ASTAR) method in forecasting the volume of car sales in PT.Srikandi Diamond Motors using time series data.In the discussion of this research, forecasting using the method of forecasting value Adaptive Spline Threshold Autoregression (ASTAR) produce approximately correct.
Datamining approaches for modeling tumor control probability.
Naqa, Issam El; Deasy, Joseph O; Mu, Yi; Huang, Ellen; Hope, Andrew J; Lindsay, Patricia E; Apte, Aditya; Alaly, James; Bradley, Jeffrey D
2010-11-01
Tumor control probability (TCP) to radiotherapy is determined by complex interactions between tumor biology, tumor microenvironment, radiation dosimetry, and patient-related variables. The complexity of these heterogeneous variable interactions constitutes a challenge for building predictive models for routine clinical practice. We describe a datamining framework that can unravel the higher order relationships among dosimetric dose-volume prognostic variables, interrogate various radiobiological processes, and generalize to unseen data before when applied prospectively. Several datamining approaches are discussed that include dose-volume metrics, equivalent uniform dose, mechanistic Poisson model, and model building methods using statistical regression and machine learning techniques. Institutional datasets of non-small cell lung cancer (NSCLC) patients are used to demonstrate these methods. The performance of the different methods was evaluated using bivariate Spearman rank correlations (rs). Over-fitting was controlled via resampling methods. Using a dataset of 56 patients with primary NCSLC tumors and 23 candidate variables, we estimated GTV volume and V75 to be the best model parameters for predicting TCP using statistical resampling and a logistic model. Using these variables, the support vector machine (SVM) kernel method provided superior performance for TCP prediction with an rs=0.68 on leave-one-out testing compared to logistic regression (rs=0.4), Poisson-based TCP (rs=0.33), and cell kill equivalent uniform dose model (rs=0.17). The prediction of treatment response can be improved by utilizing datamining approaches, which are able to unravel important non-linear complex interactions among model variables and have the capacity to predict on unseen data for prospective clinical applications.
A Set Theoretical Approach to Maturity Models
DEFF Research Database (Denmark)
Lasrado, Lester; Vatrapu, Ravi; Andersen, Kim Normann
2016-01-01
of it application on a social media maturity data-set. Specifically, we employ Necessary Condition Analysis (NCA) to identify maturity stage boundaries as necessary conditions and Qualitative Comparative Analysis (QCA) to arrive at multiple configurations that can be equally effective in progressing to higher......Maturity Model research in IS has been criticized for the lack of theoretical grounding, methodological rigor, empirical validations, and ignorance of multiple and non-linear paths to maturity. To address these criticisms, this paper proposes a novel set-theoretical approach to maturity models...... characterized by equifinality, multiple conjunctural causation, and case diversity. We prescribe methodological guidelines consisting of a six-step procedure to systematically apply set theoretic methods to conceptualize, develop, and empirically derive maturity models and provide a demonstration...
MERGING DIGITAL SURFACE MODELS IMPLEMENTING BAYESIAN APPROACHES
Directory of Open Access Journals (Sweden)
H. Sadeq
2016-06-01
Full Text Available In this research different DSMs from different sources have been merged. The merging is based on a probabilistic model using a Bayesian Approach. The implemented data have been sourced from very high resolution satellite imagery sensors (e.g. WorldView-1 and Pleiades. It is deemed preferable to use a Bayesian Approach when the data obtained from the sensors are limited and it is difficult to obtain many measurements or it would be very costly, thus the problem of the lack of data can be solved by introducing a priori estimations of data. To infer the prior data, it is assumed that the roofs of the buildings are specified as smooth, and for that purpose local entropy has been implemented. In addition to the a priori estimations, GNSS RTK measurements have been collected in the field which are used as check points to assess the quality of the DSMs and to validate the merging result. The model has been applied in the West-End of Glasgow containing different kinds of buildings, such as flat roofed and hipped roofed buildings. Both quantitative and qualitative methods have been employed to validate the merged DSM. The validation results have shown that the model was successfully able to improve the quality of the DSMs and improving some characteristics such as the roof surfaces, which consequently led to better representations. In addition to that, the developed model has been compared with the well established Maximum Likelihood model and showed similar quantitative statistical results and better qualitative results. Although the proposed model has been applied on DSMs that were derived from satellite imagery, it can be applied to any other sourced DSMs.
A Modeling Approach for Marine Observatory
Directory of Open Access Journals (Sweden)
Charbel Geryes Aoun
2015-02-01
Full Text Available Infrastructure of Marine Observatory (MO is an UnderWater Sensor Networks (UW-SN to perform collaborative monitoring tasks over a given area. This observation should take into consideration the environmental constraints since it may require specific tools, materials and devices (cables, servers, etc.. The logical and physical components that are used in these observatories provide data exchanged between the various devices of the environment (Smart Sensor, Data Fusion. These components provide new functionalities or services due to the long period running of the network. In this paper, we present our approach in extending the modeling languages to include new domain- specific concepts and constraints. Thus, we propose a meta-model that is used to generate a new design tool (ArchiMO. We illustrate our proposal with an example from the MO domain on object localization with several acoustics sensors. Additionally, we generate the corresponding simulation code for a standard network simulator using our self-developed domain-specific model compiler. Our approach helps to reduce the complexity and time of the design activity of a Marine Observatory. It provides a way to share the different viewpoints of the designers in the MO domain and obtain simulation results to estimate the network capabilities.
A nationwide modelling approach to decommissioning - 16182
International Nuclear Information System (INIS)
Kelly, Bernard; Lowe, Andy; Mort, Paul
2009-01-01
In this paper we describe a proposed UK national approach to modelling decommissioning. For the first time, we shall have an insight into optimizing the safety and efficiency of a national decommissioning strategy. To do this we use the General Case Integrated Waste Algorithm (GIA), a universal model of decommissioning nuclear plant, power plant, waste arisings and the associated knowledge capture. The model scales from individual items of plant through cells, groups of cells, buildings, whole sites and then on up to a national scale. We describe the national vision for GIA which can be broken down into three levels: 1) the capture of the chronological order of activities that an experienced decommissioner would use to decommission any nuclear facility anywhere in the world - this is Level 1 of GIA; 2) the construction of an Operational Research (OR) model based on Level 1 to allow rapid what if scenarios to be tested quickly (Level 2); 3) the construction of a state of the art knowledge capture capability that allows future generations to learn from our current decommissioning experience (Level 3). We show the progress to date in developing GIA in levels 1 and 2. As part of level 1, GIA has assisted in the development of an IMechE professional decommissioning qualification. Furthermore, we describe GIA as the basis of a UK-Owned database of decommissioning norms for such things as costs, productivity, durations etc. From level 2, we report on a pilot study that has successfully tested the basic principles for the OR numerical simulation of the algorithm. We then highlight the advantages of applying the OR modelling approach nationally. In essence, a series of 'what if...' scenarios can be tested that will improve the safety and efficiency of decommissioning. (authors)
A multiscale approach for modeling atherosclerosis progression.
Exarchos, Konstantinos P; Carpegianni, Clara; Rigas, Georgios; Exarchos, Themis P; Vozzi, Federico; Sakellarios, Antonis; Marraccini, Paolo; Naka, Katerina; Michalis, Lambros; Parodi, Oberdan; Fotiadis, Dimitrios I
2015-03-01
Progression of atherosclerotic process constitutes a serious and quite common condition due to accumulation of fatty materials in the arterial wall, consequently posing serious cardiovascular complications. In this paper, we assemble and analyze a multitude of heterogeneous data in order to model the progression of atherosclerosis (ATS) in coronary vessels. The patient's medical record, biochemical analytes, monocyte information, adhesion molecules, and therapy-related data comprise the input for the subsequent analysis. As indicator of coronary lesion progression, two consecutive coronary computed tomography angiographies have been evaluated in the same patient. To this end, a set of 39 patients is studied using a twofold approach, namely, baseline analysis and temporal analysis. The former approach employs baseline information in order to predict the future state of the patient (in terms of progression of ATS). The latter is based on an approach encompassing dynamic Bayesian networks whereby snapshots of the patient's status over the follow-up are analyzed in order to model the evolvement of ATS, taking into account the temporal dimension of the disease. The quantitative assessment of our work has resulted in 93.3% accuracy for the case of baseline analysis, and 83% overall accuracy for the temporal analysis, in terms of modeling and predicting the evolvement of ATS. It should be noted that the application of the SMOTE algorithm for handling class imbalance and the subsequent evaluation procedure might have introduced an overestimation of the performance metrics, due to the employment of synthesized instances. The most prominent features found to play a substantial role in the progression of the disease are: diabetes, cholesterol and cholesterol/HDL. Among novel markers, the CD11b marker of leukocyte integrin complex is associated with coronary plaque progression.
Modeling in transport phenomena a conceptual approach
Tosun, Ismail
2007-01-01
Modeling in Transport Phenomena, Second Edition presents and clearly explains with example problems the basic concepts and their applications to fluid flow, heat transfer, mass transfer, chemical reaction engineering and thermodynamics. A balanced approach is presented between analysis and synthesis, students will understand how to use the solution in engineering analysis. Systematic derivations of the equations and the physical significance of each term are given in detail, for students to easily understand and follow up the material. There is a strong incentive in science and engineering to
Model approach brings multi-level success.
Howell, Mark
2012-08-01
n an article that first appeared in US magazine, Medical Construction & Design, Mark Howell, senior vice-president of Skanska USA Building, based in Seattle, describes the design and construction of a new nine-storey, 350,000 ft2 extension to the Good Samaritan Hospital in Puyallup, Washington state. He explains how the use of an Integrated Project Delivery (IPD) approach by the key players, and extensive use of building information modelling (BIM), combined to deliver a healthcare facility that he believes should meet the needs of patients, families, and the clinical care team, 'well into the future'.
Klos, Anna; Pottiaux, Eric; Van Malderen, Roeland; Bock, Olivier; Bogusz, Janusz
2017-04-01
A synthetic benchmark dataset of Integrated Water Vapour (IWV) was created within the activity of "Data homogenisation" of sub-working group WG3 of COST ES1206 Action. The benchmark dataset was created basing on the analysis of IWV differences retrieved by Global Positioning System (GPS) International GNSS Service (IGS) stations using European Centre for Medium-Range Weather Forecats (ECMWF) reanalysis data (ERA-Interim). Having analysed a set of 120 series of IWV differences (ERAI-GPS) derived for IGS stations, we delivered parameters of a number of gaps and breaks for every certain station. Moreover, we estimated values of trends, significant seasonalities and character of residuals when deterministic model was removed. We tested five different noise models and found that a combination of white and autoregressive processes of first order describes the stochastic part with a good accuracy. Basing on this analysis, we performed Monte Carlo simulations of 25 years long data with two different types of noise: white as well as combination of white and autoregressive processes. We also added few strictly defined offsets, creating three variants of synthetic dataset: easy, less-complicated and fully-complicated. The 'Easy' dataset included seasonal signals (annual, semi-annual, 3 and 4 months if present for a particular station), offsets and white noise. The 'Less-complicated' dataset included above-mentioned, as well as the combination of white and first order autoregressive processes (AR(1)+WH). The 'Fully-complicated' dataset included, beyond above, a trend and gaps. In this research, we show the impact of manual homogenisation on the estimates of trend and its error. We also cross-compare the results for three above-mentioned datasets, as the synthetized noise type might have a significant influence on manual homogenisation. Therefore, it might mostly affect the values of trend and their uncertainties when inappropriately handled. In a future, the synthetic dataset
Pedagogic process modeling: Humanistic-integrative approach
Directory of Open Access Journals (Sweden)
Boritko Nikolaj M.
2007-01-01
Full Text Available The paper deals with some current problems of modeling the dynamics of the subject-features development of the individual. The term "process" is considered in the context of the humanistic-integrative approach, in which the principles of self education are regarded as criteria for efficient pedagogic activity. Four basic characteristics of the pedagogic process are pointed out: intentionality reflects logicality and regularity of the development of the process; discreteness (stageability in dicates qualitative stages through which the pedagogic phenomenon passes; nonlinearity explains the crisis character of pedagogic processes and reveals inner factors of self-development; situationality requires a selection of pedagogic conditions in accordance with the inner factors, which would enable steering the pedagogic process. Offered are two steps for singling out a particular stage and the algorithm for developing an integrative model for it. The suggested conclusions might be of use for further theoretic research, analyses of educational practices and for realistic predicting of pedagogical phenomena. .
Porto, Markus; Roman, H Eduardo
2002-04-01
We consider autoregressive conditional heteroskedasticity (ARCH) processes in which the variance sigma(2)(y) depends linearly on the absolute value of the random variable y as sigma(2)(y) = a+b absolute value of y. While for the standard model, where sigma(2)(y) = a + b y(2), the corresponding probability distribution function (PDF) P(y) decays as a power law for absolute value of y-->infinity, in the linear case it decays exponentially as P(y) approximately exp(-alpha absolute value of y), with alpha = 2/b. We extend these results to the more general case sigma(2)(y) = a+b absolute value of y(q), with 0 process is taken into account, the resulting PDF becomes a stretched exponential even for q = 1, with a stretched exponent beta = 2/3, in a much better agreement with the empirical data.
A new approach to modeling aviation accidents
Rao, Arjun Harsha
views aviation accidents as a set of hazardous states of a system (pilot and aircraft), and triggers that cause the system to move between hazardous states. I used the NTSB's accident coding manual (that contains nearly 4000 different codes) to develop a "dictionary" of hazardous states, triggers, and information codes. Then, I created the "grammar", or a set of rules, that: (1) orders the hazardous states in each accident; and, (2) links the hazardous states using the appropriate triggers. This approach: (1) provides a more correct count of the causes for accidents in the NTSB database; and, (2) checks for gaps or omissions in NTSB accident data, and fills in some of these gaps using logic-based rules. These rules also help identify and count causes for accidents that were not discernable from previous analyses of historical accident data. I apply the model to 6200 helicopter accidents that occurred in the US between 1982 and 2015. First, I identify the states and triggers that are most likely to be associated with fatal and non-fatal accidents. The results suggest that non-fatal accidents, which account for approximately 84% of the accidents, provide valuable opportunities to learn about the causes for accidents. Next, I investigate the causes of inflight loss of control using both a conventional approach and using the state-based approach. The conventional analysis provides little insight into the causal mechanism for LOC. For instance, the top cause of LOC is "aircraft control/directional control not maintained", which does not provide any insight. In contrast, the state-based analysis showed that pilots' tendency to clip objects frequently triggered LOC (16.7% of LOC accidents)--this finding was not directly discernable from conventional analyses. Finally, I investigate the causes for improper autorotations using both a conventional approach and the state-based approach. The conventional approach uses modifiers (e.g., "improper", "misjudged") associated with "24520
LABOUR PRODUCTIVITY, REAL WAGES AND UNEMPLOYMENT: AN APPLICATION OF BOUNDS TEST APPROACH FOR TURKEY
Hacer Simay Karaalp-Orhan
2017-01-01
This study investigates the relationship between labour productivity, average real wages, and the unemployment rate by employing the bounds testing procedure within an autoregressive distributed lag (ARDL) modeling approach and applies Toda-Yamamoto causality test for the period 2007:01−2016:04. The results indicate that real wages and unemployment have a significant and positive long-run impact on labour productivity. While a long-run wage–productivity elasticity of 0.97 supports the efficie...
The Effect of Crime on the Job Market: An ARDL approach to Argentina
Cerro, Ana María; Rodríguez Andrés, Antonio
2010-01-01
This paper provides further evidence on the impact of crime on the job market using the time series data over the period 1980-2007 for Argentina. We also address methodological flaws by earlier crime studies by employing autoregressive distributed lag (ARDL) approach to cointegration advocated by Pesaran et al (2001). The results show that unemployment has a statistically positive effect on the crime rate, depending on the model used.
Approaches and models of intercultural education
Directory of Open Access Journals (Sweden)
Iván Manuel Sánchez Fontalvo
2013-10-01
Full Text Available Needed to be aware of the need to build an intercultural society, awareness must be assumed in all social spheres, where stands the role play education. A role of transcendental, since it must promote educational spaces to form people with virtues and powers that allow them to live together / as in multicultural contexts and social diversities (sometimes uneven in an increasingly globalized and interconnected world, and foster the development of feelings of civic belonging shared before the neighborhood, city, region and country, allowing them concern and critical judgement to marginalization, poverty, misery and inequitable distribution of wealth, causes of structural violence, but at the same time, wanting to work for the welfare and transformation of these scenarios. Since these budgets, it is important to know the approaches and models of intercultural education that have been developed so far, analysing their impact on the contexts educational where apply.
Modeling water quality in an urban river using hydrological factors--data driven approaches.
Chang, Fi-John; Tsai, Yu-Hsuan; Chen, Pin-An; Coynel, Alexandra; Vachaud, Georges
2015-03-15
Contrasting seasonal variations occur in river flow and water quality as a result of short duration, severe intensity storms and typhoons in Taiwan. Sudden changes in river flow caused by impending extreme events may impose serious degradation on river water quality and fateful impacts on ecosystems. Water quality is measured in a monthly/quarterly scale, and therefore an estimation of water quality in a daily scale would be of good help for timely river pollution management. This study proposes a systematic analysis scheme (SAS) to assess the spatio-temporal interrelation of water quality in an urban river and construct water quality estimation models using two static and one dynamic artificial neural networks (ANNs) coupled with the Gamma test (GT) based on water quality, hydrological and economic data. The Dahan River basin in Taiwan is the study area. Ammonia nitrogen (NH3-N) is considered as the representative parameter, a correlative indicator in judging the contamination level over the study. Key factors the most closely related to the representative parameter (NH3-N) are extracted by the Gamma test for modeling NH3-N concentration, and as a result, four hydrological factors (discharge, days w/o discharge, water temperature and rainfall) are identified as model inputs. The modeling results demonstrate that the nonlinear autoregressive with exogenous input (NARX) network furnished with recurrent connections can accurately estimate NH3-N concentration with a very high coefficient of efficiency value (0.926) and a low RMSE value (0.386 mg/l). Besides, the NARX network can suitably catch peak values that mainly occur in dry periods (September-April in the study area), which is particularly important to water pollution treatment. The proposed SAS suggests a promising approach to reliably modeling the spatio-temporal NH3-N concentration based solely on hydrological data, without using water quality sampling data. It is worth noticing that such estimation can be
Systems Approaches to Modeling Chronic Mucosal Inflammation
Gao, Boning; Choudhary, Sanjeev; Wood, Thomas G.; Carmical, Joseph R.; Boldogh, Istvan; Mitra, Sankar; Minna, John D.; Brasier, Allan R.
2013-01-01
The respiratory mucosa is a major coordinator of the inflammatory response in chronic airway diseases, including asthma and chronic obstructive pulmonary disease (COPD). Signals produced by the chronic inflammatory process induce epithelial mesenchymal transition (EMT) that dramatically alters the epithelial cell phenotype. The effects of EMT on epigenetic reprogramming and the activation of transcriptional networks are known, its effects on the innate inflammatory response are underexplored. We used a multiplex gene expression profiling platform to investigate the perturbations of the innate pathways induced by TGFβ in a primary airway epithelial cell model of EMT. EMT had dramatic effects on the induction of the innate pathway and the coupling interval of the canonical and noncanonical NF-κB pathways. Simulation experiments demonstrate that rapid, coordinated cap-independent translation of TRAF-1 and NF-κB2 is required to reduce the noncanonical pathway coupling interval. Experiments using amantadine confirmed the prediction that TRAF-1 and NF-κB2/p100 production is mediated by an IRES-dependent mechanism. These data indicate that the epigenetic changes produced by EMT induce dynamic state changes of the innate signaling pathway. Further applications of systems approaches will provide understanding of this complex phenotype through deterministic modeling and multidimensional (genomic and proteomic) profiling. PMID:24228254
ECOMOD - An ecological approach to radioecological modelling
International Nuclear Information System (INIS)
Sazykina, Tatiana G.
2000-01-01
A unified methodology is proposed to simulate the dynamic processes of radionuclide migration in aquatic food chains in parallel with their stable analogue elements. The distinguishing feature of the unified radioecological/ecological approach is the description of radionuclide migration along with dynamic equations for the ecosystem. The ability of the methodology to predict the results of radioecological experiments is demonstrated by an example of radionuclide (iron group) accumulation by a laboratory culture of the algae Platymonas viridis. Based on the unified methodology, the 'ECOMOD' radioecological model was developed to simulate dynamic radioecological processes in aquatic ecosystems. It comprises three basic modules, which are operated as a set of inter-related programs. The 'ECOSYSTEM' module solves non-linear ecological equations, describing the biomass dynamics of essential ecosystem components. The 'RADIONUCLIDE DISTRIBUTION' module calculates the radionuclide distribution in abiotic and biotic components of the aquatic ecosystem. The 'DOSE ASSESSMENT' module calculates doses to aquatic biota and doses to man from aquatic food chains. The application of the ECOMOD model to reconstruct the radionuclide distribution in the Chernobyl Cooling Pond ecosystem in the early period after the accident shows good agreement with observations
Estimation of Time-Varying Autoregressive Symmetric Alpha Stable
National Aeronautics and Space Administration — In the last decade alpha-stable distributions have become a standard model for impulsive data. Especially the linear symmetric alpha-stable processes have found...
Risk communication: a mental models approach
National Research Council Canada - National Science Library
Morgan, M. Granger (Millett Granger)
2002-01-01
... information about risks. The procedure uses approaches from risk and decision analysis to identify the most relevant information; it also uses approaches from psychology and communication theory to ensure that its message is understood. This book is written in nontechnical terms, designed to make the approach feasible for anyone willing to try it. It is illustrat...
Analysis of housing price by means of STAR models with neighbourhood effects: a Bayesian approach
Beamonte, Asuncion; Gargallo, Pilar; Salvador, Manuel
2010-06-01
In this paper, we extend the Bayesian methodology introduced by Beamonte et al. (Stat Modelling 8:285-311, 2008) for the estimation and comparison of spatio-temporal autoregressive models (STAR) with neighbourhood effects, providing a more general treatment that uses larger and denser nets for the number of spatial and temporal influential neighbours and continuous distributions for their smoothing weights. This new treatment also reduces the computational time and the RAM necessities of the estimation algorithm in Beamonte et al. (Stat Modelling 8:285-311, 2008). The procedure is illustrated by an application to the Zaragoza (Spain) real estate market, improving the goodness of fit and the outsampling behaviour of the model thanks to a more flexible estimation of the neighbourhood parameters.
Censored latent effects autoregression, with an application to US unemployment
Ph.H.B.F. Franses (Philip Hans); R. Paap (Richard)
1998-01-01
textabstractA new time series model is proposed to describe observed asymmetries in postwar unemployment data. We assume that recession periods, when unemployment increases rapidly, are caused by unobserved positive shocks. The generating mechanism of these latent shocks is a censored regression
Brillouin Scattering Spectrum Analysis Based on Auto-Regressive Spectral Estimation
Huang, Mengyun; Li, Wei; Liu, Zhangyun; Cheng, Linghao; Guan, Bai-Ou
2018-03-01
Auto-regressive (AR) spectral estimation technology is proposed to analyze the Brillouin scattering spectrum in Brillouin optical time-domain refelectometry. It shows that AR based method can reliably estimate the Brillouin frequency shift with an accuracy much better than fast Fourier transform (FFT) based methods provided the data length is not too short. It enables about 3 times improvement over FFT at a moderate spatial resolution.
A Discrete Monetary Economic Growth Model with the MIU Approach
Directory of Open Access Journals (Sweden)
Wei-Bin Zhang
2008-01-01
Full Text Available This paper proposes an alternative approach to economic growth with money. The production side is the same as the Solow model, the Ramsey model, and the Tobin model. But we deal with behavior of consumers differently from the traditional approaches. The model is influenced by the money-in-the-utility (MIU approach in monetary economics. It provides a mechanism of endogenous saving which the Solow model lacks and avoids the assumption of adding up utility over a period of time upon which the Ramsey approach is based.
Mathematical Modelling Approach in Mathematics Education
Arseven, Ayla
2015-01-01
The topic of models and modeling has come to be important for science and mathematics education in recent years. The topic of "Modeling" topic is especially important for examinations such as PISA which is conducted at an international level and measures a student's success in mathematics. Mathematical modeling can be defined as using…
A Multivariate Approach to Functional Neuro Modeling
DEFF Research Database (Denmark)
Mørch, Niels J.S.
1998-01-01
by the application of linear and more flexible, nonlinear microscopic regression models to a real-world dataset. The dependency of model performance, as quantified by generalization error, on model flexibility and training set size is demonstrated, leading to the important realization that no uniformly optimal model......, provides the basis for a generalization theoretical framework relating model performance to model complexity and dataset size. Briefly summarized the major topics discussed in the thesis include: - An introduction of the representation of functional datasets by pairs of neuronal activity patterns...... exists. - Model visualization and interpretation techniques. The simplicity of this task for linear models contrasts the difficulties involved when dealing with nonlinear models. Finally, a visualization technique for nonlinear models is proposed. A single observation emerges from the thesis...
Directory of Open Access Journals (Sweden)
Mosbeh R. Kaloop
2017-01-01
Full Text Available This study evaluates the performance of passively controlled steel frame building under dynamic loads using time series analysis. A novel application is utilized for the time and frequency domains evaluation to analyze the behavior of controlling systems. In addition, the autoregressive moving average (ARMA neural networks are employed to identify the performance of the controller system. Three passive vibration control devices are utilized in this study, namely, tuned mass damper (TMD, tuned liquid damper (TLD, and tuned liquid column damper (TLCD. The results show that the TMD control system is a more reliable controller than TLD and TLCD systems in terms of vibration mitigation. The probabilistic evaluation and identification model showed that the probability analysis and ARMA neural network model are suitable to evaluate and predict the response of coupled building-controller systems.
Uncertainty in biology a computational modeling approach
Gomez-Cabrero, David
2016-01-01
Computational modeling of biomedical processes is gaining more and more weight in the current research into the etiology of biomedical problems and potential treatment strategies. Computational modeling allows to reduce, refine and replace animal experimentation as well as to translate findings obtained in these experiments to the human background. However these biomedical problems are inherently complex with a myriad of influencing factors, which strongly complicates the model building and validation process. This book wants to address four main issues related to the building and validation of computational models of biomedical processes: Modeling establishment under uncertainty Model selection and parameter fitting Sensitivity analysis and model adaptation Model predictions under uncertainty In each of the abovementioned areas, the book discusses a number of key-techniques by means of a general theoretical description followed by one or more practical examples. This book is intended for graduate stude...
Relaxed memory models: an operational approach
Boudol , Gérard; Petri , Gustavo
2009-01-01
International audience; Memory models define an interface between programs written in some language and their implementation, determining which behaviour the memory (and thus a program) is allowed to have in a given model. A minimal guarantee memory models should provide to the programmer is that well-synchronized, that is, data-race free code has a standard semantics. Traditionally, memory models are defined axiomatically, setting constraints on the order in which memory operations are allow...
Numerical modelling approach for mine backfill
Indian Academy of Sciences (India)
... of mine backfill material needs special attention as the numerical model must behave realistically and in accordance with the site conditions. This paper discusses a numerical modelling strategy for modelling mine backfill material. Themodelling strategy is studied using a case study mine from Canadian mining industry.
Models Portability: Some Considerations about Transdisciplinary Approaches
Giuliani, Alessandro
Some critical issues about the relative portability of models and solutions across disciplinary barriers are discussed. The risks linked to the use of models and theories coming from different disciplines are evidentiated with a particular emphasis on biology. A metaphorical use of conceptual tools coming from other fields is suggested, together with the unescapable need to judge about the relative merits of a model on the basis of the amount of facts relative to the particular domain of application it explains. Some examples of metaphorical modeling coming from biochemistry and psychobiology are briefly discussed in order to clarify the above positions.
A visual approach for modeling spatiotemporal relations
R.L. Guimarães (Rodrigo); C.S.S. Neto; L.F.G. Soares
2008-01-01
htmlabstractTextual programming languages have proven to be difficult to learn and to use effectively for many people. For this sake, visual tools can be useful to abstract the complexity of such textual languages, minimizing the specification efforts. In this paper we present a visual approach for
DIVERSE APPROACHES TO MODELLING THE ASSIMILATIVE ...
African Journals Online (AJOL)
This study evaluated the assimilative capacity of Ikpoba River using different approaches namely: homogeneous differential equation, ANOVA/Duncan Multiple rage test, first and second order differential equations, correlation analysis, Eigen values and eigenvectors, multiple linear regression, bootstrapping and far-field ...
Comparison of two novel approaches to model fibre reinforced concrete
Radtke, F.K.F.; Simone, A.; Sluys, L.J.
2009-01-01
We present two approaches to model fibre reinforced concrete. In both approaches, discrete fibre distributions and the behaviour of the fibre-matrix interface are explicitly considered. One approach employs the reaction forces from fibre to matrix while the other is based on the partition of unity
Modeling Approaches for Describing Microbial Population Heterogeneity
DEFF Research Database (Denmark)
Lencastre Fernandes, Rita
in a computational (CFD) fluid dynamic model. The anaerobic Growth of a budding yeast population in a continuously run microbioreactor was used as example. The proposed integrated model describes the fluid flow, the local cell size and cell cycle position distributions, as well as the local concentrations of glucose...
A simplified approach to feedwater train modeling
International Nuclear Information System (INIS)
Ollat, X.; Smoak, R.A.
1990-01-01
This paper presents a method to simplify feedwater train models for power plants. A simple set of algebraic equations, based on mass and energy balances, is developed to replace complex representations of the components under certain assumptions. The method was tested and used to model the low pressure heaters of the Sequoyah Nuclear Plant in a larger simulation
The workshop on ecosystems modelling approaches for South ...
African Journals Online (AJOL)
roles played by models in the OMP approach, and raises questions about the costs of the data collection. (in particular) needed to apply a multispecies modelling approach in South African fisheries management. It then summarizes the deliberations of workshops held by the Scientific Committees of two international ma-.
A simple approach to modeling ductile failure.
Energy Technology Data Exchange (ETDEWEB)
Wellman, Gerald William
2012-06-01
Sandia National Laboratories has the need to predict the behavior of structures after the occurrence of an initial failure. In some cases determining the extent of failure, beyond initiation, is required, while in a few cases the initial failure is a design feature used to tailor the subsequent load paths. In either case, the ability to numerically simulate the initiation and propagation of failures is a highly desired capability. This document describes one approach to the simulation of failure initiation and propagation.
Advanced language modeling approaches, case study: Expert search
Hiemstra, Djoerd
2008-01-01
This tutorial gives a clear and detailed overview of advanced language modeling approaches and tools, including the use of document priors, translation models, relevance models, parsimonious models and expectation maximization training. Expert search will be used as a case study to explain the
Chemotaxis: A Multi-Scale Modeling Approach
Bhowmik, Arpan
We are attempting to build a working simulation of population level self-organization in dictyostelium discoideum cells by combining existing models for chemo-attractant production and detection, along with phenomenological motility models. Our goal is to create a computationally-viable model-framework within which a population of cells can self-generate chemo-attractant waves and self-organize based on the directional cues of those waves. The work is a direct continuation of our previous work published in Physical Biology titled ``Excitable waves and direction-sensing in Dictyostelium Discoideum: steps towards a chemotaxis model''. This is a work in progress, no official draft/paper exists yet.
An Integrated Approach to Modeling Evacuation Behavior
2011-02-01
A spate of recent hurricanes and other natural disasters have drawn a lot of attention to the evacuation decision of individuals. Here we focus on evacuation models that incorporate two economic phenomena that seem to be increasingly important in exp...
Infectious disease modeling a hybrid system approach
Liu, Xinzhi
2017-01-01
This volume presents infectious diseases modeled mathematically, taking seasonality and changes in population behavior into account, using a switched and hybrid systems framework. The scope of coverage includes background on mathematical epidemiology, including classical formulations and results; a motivation for seasonal effects and changes in population behavior, an investigation into term-time forced epidemic models with switching parameters, and a detailed account of several different control strategies. The main goal is to study these models theoretically and to establish conditions under which eradication or persistence of the disease is guaranteed. In doing so, the long-term behavior of the models is determined through mathematical techniques from switched systems theory. Numerical simulations are also given to augment and illustrate the theoretical results and to help study the efficacy of the control schemes.
Challenges and opportunities for integrating lake ecosystem modelling approaches
Mooij, Wolf M.; Trolle, Dennis; Jeppesen, Erik; Arhonditsis, George; Belolipetsky, Pavel V.; Chitamwebwa, Deonatus B.R.; Degermendzhy, Andrey G.; DeAngelis, Donald L.; Domis, Lisette N. De Senerpont; Downing, Andrea S.; Elliott, J. Alex; Ruberto, Carlos Ruberto; Gaedke, Ursula; Genova, Svetlana N.; Gulati, Ramesh D.; Hakanson, Lars; Hamilton, David P.; Hipsey, Matthew R.; Hoen, Jochem 't; Hulsmann, Stephan; Los, F. Hans; Makler-Pick, Vardit; Petzoldt, Thomas; Prokopkin, Igor G.; Rinke, Karsten; Schep, Sebastiaan A.; Tominaga, Koji; Van Dam, Anne A.; Van Nes, Egbert H.; Wells, Scott A.; Janse, Jan H.
2010-01-01
A large number and wide variety of lake ecosystem models have been developed and published during the past four decades. We identify two challenges for making further progress in this field. One such challenge is to avoid developing more models largely following the concept of others ('reinventing the wheel'). The other challenge is to avoid focusing on only one type of model, while ignoring new and diverse approaches that have become available ('having tunnel vision'). In this paper, we aim at improving the awareness of existing models and knowledge of concurrent approaches in lake ecosystem modelling, without covering all possible model tools and avenues. First, we present a broad variety of modelling approaches. To illustrate these approaches, we give brief descriptions of rather arbitrarily selected sets of specific models. We deal with static models (steady state and regression models), complex dynamic models (CAEDYM, CE-QUAL-W2, Delft 3D-ECO, LakeMab, LakeWeb, MyLake, PCLake, PROTECH, SALMO), structurally dynamic models and minimal dynamic models. We also discuss a group of approaches that could all be classified as individual based: super-individual models (Piscator, Charisma), physiologically structured models, stage-structured models and trait-based models. We briefly mention genetic algorithms, neural networks, Kalman filters and fuzzy logic. Thereafter, we zoom in, as an in-depth example, on the multi-decadal development and application of the lake ecosystem model PCLake and related models (PCLake Metamodel, Lake Shira Model, IPH-TRIM3D-PCLake). In the discussion, we argue that while the historical development of each approach and model is understandable given its 'leading principle', there are many opportunities for combining approaches. We take the point of view that a single 'right' approach does not exist and should not be strived for. Instead, multiple modelling approaches, applied concurrently to a given problem, can help develop an integrative
"Dispersion modeling approaches for near road | Science ...
Roadway design and roadside barriers can have significant effects on the dispersion of traffic-generated pollutants, especially in the near-road environment. Dispersion models that can accurately simulate these effects are needed to fully assess these impacts for a variety of applications. For example, such models can be useful for evaluating the mitigation potential of roadside barriers in reducing near-road exposures and their associated adverse health effects. Two databases, a tracer field study and a wind tunnel study, provide measurements used in the development and/or validation of algorithms to simulate dispersion in the presence of noise barriers. The tracer field study was performed in Idaho Falls, ID, USA with a 6-m noise barrier and a finite line source in a variety of atmospheric conditions. The second study was performed in the meteorological wind tunnel at the US EPA and simulated line sources at different distances from a model noise barrier to capture the effect on emissions from individual lanes of traffic. In both cases, velocity and concentration measurements characterized the effect of the barrier on dispersion.This paper presents comparisons with the two datasets of the barrier algorithms implemented in two different dispersion models: US EPA’s R-LINE (a research dispersion modelling tool under development by the US EPA’s Office of Research and Development) and CERC’s ADMS model (ADMS-Urban). In R-LINE the physical features reveal
DEFF Research Database (Denmark)
Bec, Frederique; Rahbek, Anders Christian; Shephard, Neil
2008-01-01
This paper proposes and analyses the autoregressive conditional root (ACR) time-series model. This multivariate dynamic mixture autoregression allows for non-stationary epochs. It proves to be an appealing alternative to existing nonlinear models, e.g. the threshold autoregressive or Markov...... switching class of models, which are commonly used to describe nonlinear dynamics as implied by arbitrage in presence of transaction costs. Simple conditions on the parameters of the ACR process and its innovations are shown to imply geometric ergodicity, stationarity and existence of moments. Furthermore...
A Vector AutoRegressive (VAR) Approach to the Credit Channel for ...
African Journals Online (AJOL)
user1
significance of monetary policy and the bank lending view of the credit channel for Mauritius, which is ... In Mauritius, the conduct of monetary policy involves the setting and adjustments of policy instruments by the .... been done at national level, in fact on any of the possible channels of monetary transmission mechanisms.
Robust estimation of autoregressive processes using a mixture-based filter-bank
Czech Academy of Sciences Publication Activity Database
Šmídl, V.; Anthony, Q.; Kárný, Miroslav; Guy, Tatiana Valentine
2005-01-01
Roč. 54, č. 4 (2005), s. 315-323 ISSN 0167-6911 R&D Projects: GA AV ČR IBS1075351; GA ČR GA102/03/0049; GA ČR GP102/03/P010; GA MŠk 1M0572 Institutional research plan: CEZ:AV0Z10750506 Keywords : Bayesian estimation * probabilistic mixtures * recursive estimation Subject RIV: BC - Control Systems Theory Impact factor: 1.239, year: 2005 http://library.utia.cas.cz/separaty/historie/karny-robust estimation of autoregressive processes using a mixture-based filter- bank .pdf
A consortium approach to glass furnace modeling.
Energy Technology Data Exchange (ETDEWEB)
Chang, S.-L.; Golchert, B.; Petrick, M.
1999-04-20
Using computational fluid dynamics to model a glass furnace is a difficult task for any one glass company, laboratory, or university to accomplish. The task of building a computational model of the furnace requires knowledge and experience in modeling two dissimilar regimes (the combustion space and the liquid glass bath), along with the skill necessary to couple these two regimes. Also, a detailed set of experimental data is needed in order to evaluate the output of the code to ensure that the code is providing proper results. Since all these diverse skills are not present in any one research institution, a consortium was formed between Argonne National Laboratory, Purdue University, Mississippi State University, and five glass companies in order to marshal these skills into one three-year program. The objective of this program is to develop a fully coupled, validated simulation of a glass melting furnace that may be used by industry to optimize the performance of existing furnaces.
Fractal approach to computer-analytical modelling of tree crown
International Nuclear Information System (INIS)
Berezovskaya, F.S.; Karev, G.P.; Kisliuk, O.F.; Khlebopros, R.G.; Tcelniker, Yu.L.
1993-09-01
In this paper we discuss three approaches to the modeling of a tree crown development. These approaches are experimental (i.e. regressive), theoretical (i.e. analytical) and simulation (i.e. computer) modeling. The common assumption of these is that a tree can be regarded as one of the fractal objects which is the collection of semi-similar objects and combines the properties of two- and three-dimensional bodies. We show that a fractal measure of crown can be used as the link between the mathematical models of crown growth and light propagation through canopy. The computer approach gives the possibility to visualize a crown development and to calibrate the model on experimental data. In the paper different stages of the above-mentioned approaches are described. The experimental data for spruce, the description of computer system for modeling and the variant of computer model are presented. (author). 9 refs, 4 figs
Phytoplankton as Particles - A New Approach to Modeling Algal Blooms
2013-07-01
ER D C/ EL T R -1 3 -1 3 Civil Works Basic Research Program Phytoplankton as Particles – A New Approach to Modeling Algal Blooms E nv... Phytoplankton as Particles – A New Approach to Modeling Algal Blooms Carl F. Cerco and Mark R. Noel Environmental Laboratory U.S. Army Engineer Research... phytoplankton blooms can be modeled by treating phytoplankton as discrete particles capable of self- induced transport via buoyancy regulation or other
Contribution of a companion modelling approach
African Journals Online (AJOL)
2009-09-16
Sep 16, 2009 ... This paper describes the role of participatory modelling and simulation as a way to provide a meaningful framework to enable actors to understand the interdependencies in peri-urban catchment management. A role-playing game, connecting the quantitative and qualitative dynamics of the resources with ...
Numerical modelling approach for mine backfill
Indian Academy of Sciences (India)
Muhammad Zaka Emad
2017-07-24
Jul 24, 2017 ... Abstract. Numerical modelling is broadly used for assessing complex scenarios in underground mines, including mining sequence and blast-induced vibrations from production blasting. Sublevel stoping mining methods with delayed backfill are extensively used to exploit steeply dipping ore bodies by ...
Energy and development : A modelling approach
van Ruijven, B.J.|info:eu-repo/dai/nl/304834521
2008-01-01
Rapid economic growth of developing countries like India and China implies that these countries become important actors in the global energy system. Examples of this impact are the present day oil shortages and rapidly increasing emissions of greenhouse gases. Global energy models are used explore
Numerical modelling approach for mine backfill
Indian Academy of Sciences (India)
Muhammad Zaka Emad
2017-07-24
Jul 24, 2017 ... pulse is applied as a stress history on the CRF stope. Blast wave data obtained from the on-site monitoring are very complex. It requires processing before interpreting and using it for numerical models. Generally, mining compa- nies hire geophysics experts for interpretation of such data. The blast wave ...
A new approach to model mixed hydrates
Czech Academy of Sciences Publication Activity Database
Hielscher, S.; Vinš, Václav; Jäger, A.; Hrubý, Jan; Breitkopf, C.; Span, R.
2018-01-01
Roč. 459, March (2018), s. 170-185 ISSN 0378-3812 R&D Projects: GA ČR(CZ) GA17-08218S Institutional support: RVO:61388998 Keywords : gas hydrate * mixture * modeling Subject RIV: BJ - Thermodynamics Impact factor: 2.473, year: 2016 https://www. science direct.com/ science /article/pii/S0378381217304983
Energy and Development. A Modelling Approach
International Nuclear Information System (INIS)
Van Ruijven, B.J.
2008-01-01
Rapid economic growth of developing countries like India and China implies that these countries become important actors in the global energy system. Examples of this impact are the present day oil shortages and rapidly increasing emissions of greenhouse gases. Global energy models are used to explore possible future developments of the global energy system and identify policies to prevent potential problems. Such estimations of future energy use in developing countries are very uncertain. Crucial factors in the future energy use of these regions are electrification, urbanisation and income distribution, issues that are generally not included in present day global energy models. Model simulations in this thesis show that current insight in developments in low-income regions lead to a wide range of expected energy use in 2030 of the residential and transport sectors. This is mainly caused by many different model calibration options that result from the limited data availability for model development and calibration. We developed a method to identify the impact of model calibration uncertainty on future projections. We developed a new model for residential energy use in India, in collaboration with the Indian Institute of Science. Experiments with this model show that the impact of electrification and income distribution is less univocal than often assumed. The use of fuelwood, with related health risks, can decrease rapidly if the income of poor groups increases. However, there is a trade off in terms of CO2 emissions because these groups gain access to electricity and the ownership of appliances increases. Another issue is the potential role of new technologies in developing countries: will they use the opportunities of leapfrogging? We explored the potential role of hydrogen, an energy carrier that might play a central role in a sustainable energy system. We found that hydrogen only plays a role before 2050 under very optimistic assumptions. Regional energy
Energy and Development. A Modelling Approach
Energy Technology Data Exchange (ETDEWEB)
Van Ruijven, B.J.
2008-12-17
Rapid economic growth of developing countries like India and China implies that these countries become important actors in the global energy system. Examples of this impact are the present day oil shortages and rapidly increasing emissions of greenhouse gases. Global energy models are used to explore possible future developments of the global energy system and identify policies to prevent potential problems. Such estimations of future energy use in developing countries are very uncertain. Crucial factors in the future energy use of these regions are electrification, urbanisation and income distribution, issues that are generally not included in present day global energy models. Model simulations in this thesis show that current insight in developments in low-income regions lead to a wide range of expected energy use in 2030 of the residential and transport sectors. This is mainly caused by many different model calibration options that result from the limited data availability for model development and calibration. We developed a method to identify the impact of model calibration uncertainty on future projections. We developed a new model for residential energy use in India, in collaboration with the Indian Institute of Science. Experiments with this model show that the impact of electrification and income distribution is less univocal than often assumed. The use of fuelwood, with related health risks, can decrease rapidly if the income of poor groups increases. However, there is a trade off in terms of CO2 emissions because these groups gain access to electricity and the ownership of appliances increases. Another issue is the potential role of new technologies in developing countries: will they use the opportunities of leapfrogging? We explored the potential role of hydrogen, an energy carrier that might play a central role in a sustainable energy system. We found that hydrogen only plays a role before 2050 under very optimistic assumptions. Regional energy
Dynamic Metabolic Model Building Based on the Ensemble Modeling Approach
Energy Technology Data Exchange (ETDEWEB)
Liao, James C. [Univ. of California, Los Angeles, CA (United States)
2016-10-01
Ensemble modeling of kinetic systems addresses the challenges of kinetic model construction, with respect to parameter value selection, and still allows for the rich insights possible from kinetic models. This project aimed to show that constructing, implementing, and analyzing such models is a useful tool for the metabolic engineering toolkit, and that they can result in actionable insights from models. Key concepts are developed and deliverable publications and results are presented.
Integration models: multicultural and liberal approaches confronted
Janicki, Wojciech
2012-01-01
European societies have been shaped by their Christian past, upsurge of international migration, democratic rule and liberal tradition rooted in religious tolerance. Boosting globalization processes impose new challenges on European societies, striving to protect their diversity. This struggle is especially clearly visible in case of minorities trying to resist melting into mainstream culture. European countries' legal systems and cultural policies respond to these efforts in many ways. Respecting identity politics-driven group rights seems to be the most common approach, resulting in creation of a multicultural society. However, the outcome of respecting group rights may be remarkably contradictory to both individual rights growing out from liberal tradition, and to reinforced concept of integration of immigrants into host societies. The hereby paper discusses identity politics upturn in the context of both individual rights and integration of European societies.
Modelling thermal plume impacts - Kalpakkam approach
International Nuclear Information System (INIS)
Rao, T.S.; Anup Kumar, B.; Narasimhan, S.V.
2002-01-01
A good understanding of temperature patterns in the receiving waters is essential to know the heat dissipation from thermal plumes originating from coastal power plants. The seasonal temperature profiles of the Kalpakkam coast near Madras Atomic Power Station (MAPS) thermal out fall site are determined and analysed. It is observed that the seasonal current reversal in the near shore zone is one of the major mechanisms for the transport of effluents away from the point of mixing. To further refine our understanding of the mixing and dilution processes, it is necessary to numerically simulate the coastal ocean processes by parameterising the key factors concerned. In this paper, we outline the experimental approach to achieve this objective. (author)
Modelling approach for photochemical pollution studies
International Nuclear Information System (INIS)
Silibello, C.; Catenacci, G.; Calori, G.; Crapanzano, G.; Pirovano, G.
1996-01-01
The comprehension of the relationships between primary pollutants emissions and secondary pollutants concentration and deposition is necessary to design policies and strategies for the maintenance of a healthy environment. The use of mathematical models is a powerful tool to assess the effect of the emissions and of physical and chemical transformations of pollutants on air quality. A photochemical model, Calgrid, developed by CARB (California Air Resources Board), has been used to test the effect of different meteorological and air quality, scenarios on the ozone concentration levels. This way we can evaluate the influence of these conditions to determine the most important chemical species and reactions in atmosphere. The ozone levels are strongly related to the reactive hydrocarbons concentrations and to the solar radiation flux
Colour texture segmentation using modelling approach
Czech Academy of Sciences Publication Activity Database
Haindl, Michal; Mikeš, Stanislav
2005-01-01
Roč. 3687, č. - (2005), s. 484-491 ISSN 0302-9743. [International Conference on Advances in Pattern Recognition /3./. Bath, 22.08.2005-25.08.2005] R&D Projects: GA MŠk 1M0572; GA AV ČR 1ET400750407; GA AV ČR IAA2075302 Institutional research plan: CEZ:AV0Z10750506 Keywords : colour texture segmentation * image models * segmentation benchmark Subject RIV: BD - Theory of Information
Tumour resistance to cisplatin: a modelling approach
International Nuclear Information System (INIS)
Marcu, L; Bezak, E; Olver, I; Doorn, T van
2005-01-01
Although chemotherapy has revolutionized the treatment of haematological tumours, in many common solid tumours the success has been limited. Some of the reasons for the limitations are: the timing of drug delivery, resistance to the drug, repopulation between cycles of chemotherapy and the lack of complete understanding of the pharmacokinetics and pharmacodynamics of a specific agent. Cisplatin is among the most effective cytotoxic agents used in head and neck cancer treatments. When modelling cisplatin as a single agent, the properties of cisplatin only have to be taken into account, reducing the number of assumptions that are considered in the generalized chemotherapy models. The aim of the present paper is to model the biological effect of cisplatin and to simulate the consequence of cisplatin resistance on tumour control. The 'treated' tumour is a squamous cell carcinoma of the head and neck, previously grown by computer-based Monte Carlo techniques. The model maintained the biological constitution of a tumour through the generation of stem cells, proliferating cells and non-proliferating cells. Cell kinetic parameters (mean cell cycle time, cell loss factor, thymidine labelling index) were also consistent with the literature. A sensitivity study on the contribution of various mechanisms leading to drug resistance is undertaken. To quantify the extent of drug resistance, the cisplatin resistance factor (CRF) is defined as the ratio between the number of surviving cells of the resistant population and the number of surviving cells of the sensitive population, determined after the same treatment time. It is shown that there is a supra-linear dependence of CRF on the percentage of cisplatin-DNA adducts formed, and a sigmoid-like dependence between CRF and the percentage of cells killed in resistant tumours. Drug resistance is shown to be a cumulative process which eventually can overcome tumour regression leading to treatment failure
ISM Approach to Model Offshore Outsourcing Risks
Directory of Open Access Journals (Sweden)
Sunand Kumar
2014-07-01
Full Text Available In an effort to achieve a competitive advantage via cost reductions and improved market responsiveness, organizations are increasingly employing offshore outsourcing as a major component of their supply chain strategies. But as evident from literature number of risks such as Political risk, Risk due to cultural differences, Compliance and regulatory risk, Opportunistic risk and Organization structural risk, which adversely affect the performance of offshore outsourcing in a supply chain network. This also leads to dissatisfaction among different stake holders. The main objective of this paper is to identify and understand the mutual interaction among various risks which affect the performance of offshore outsourcing. To this effect, authors have identified various risks through extant review of literature. From this information, an integrated model using interpretive structural modelling (ISM for risks affecting offshore outsourcing is developed and the structural relationships between these risks are modeled. Further, MICMAC analysis is done to analyze the driving power and dependency of risks which shall be helpful to managers to identify and classify important criterions and to reveal the direct and indirect effects of each criterion on offshore outsourcing. Results show that political risk and risk due to cultural differences are act as strong drivers.
Forecasting Marine Corps Enlisted Manpower Inventory Levels With Univariate Time Series Models
National Research Council Canada - National Science Library
Feiring, Douglas I
2006-01-01
.... Models are developed for 44 representative population groups using Holt-Winters exponential smoothing, multiplicative decomposition, and Box-Jenkins autoregressive integrated moving average (ARIMA...
Agribusiness model approach to territorial food development
Directory of Open Access Journals (Sweden)
Murcia Hector Horacio
2011-04-01
Full Text Available
Several research efforts have coordinated the academic program of Agricultural Business Management from the University De La Salle (Bogota D.C., to the design and implementation of a sustainable agribusiness model applied to food development, with territorial projection. Rural development is considered as a process that aims to improve the current capacity and potential of the inhabitant of the sector, which refers not only to production levels and productivity of agricultural items. It takes into account the guidelines of the Organization of the United Nations “Millennium Development Goals” and considered the concept of sustainable food and agriculture development, including food security and nutrition in an integrated interdisciplinary context, with holistic and systemic dimension. Analysis is specified by a model with an emphasis on sustainable agribusiness production chains related to agricultural food items in a specific region. This model was correlated with farm (technical objectives, family (social purposes and community (collective orientations projects. Within this dimension are considered food development concepts and methodologies of Participatory Action Research (PAR. Finally, it addresses the need to link the results to low-income communities, within the concepts of the “new rurality”.
Smeared crack modelling approach for corrosion-induced concrete damage
DEFF Research Database (Denmark)
Thybo, Anna Emilie Anusha; Michel, Alexander; Stang, Henrik
2017-01-01
In this paper a smeared crack modelling approach is used to simulate corrosion-induced damage in reinforced concrete. The presented modelling approach utilizes a thermal analogy to mimic the expansive nature of solid corrosion products, while taking into account the penetration of corrosion...... products into the surrounding concrete, non-uniform precipitation of corrosion products, and creep. To demonstrate the applicability of the presented modelling approach, numerical predictions in terms of corrosion-induced deformations as well as formation and propagation of micro- and macrocracks were...
Applied Regression Modeling A Business Approach
Pardoe, Iain
2012-01-01
An applied and concise treatment of statistical regression techniques for business students and professionals who have little or no background in calculusRegression analysis is an invaluable statistical methodology in business settings and is vital to model the relationship between a response variable and one or more predictor variables, as well as the prediction of a response value given values of the predictors. In view of the inherent uncertainty of business processes, such as the volatility of consumer spending and the presence of market uncertainty, business professionals use regression a
Jackiw-Pi model: A superfield approach
Gupta, Saurabh
2014-12-01
We derive the off-shell nilpotent and absolutely anticommuting Becchi-Rouet-Stora-Tyutin (BRST) as well as anti-BRST transformations s ( a) b corresponding to the Yang-Mills gauge transformations of 3D Jackiw-Pi model by exploiting the "augmented" super-field formalism. We also show that the Curci-Ferrari restriction, which is a hallmark of any non-Abelian 1-form gauge theories, emerges naturally within this formalism and plays an instrumental role in providing the proof of absolute anticommutativity of s ( a) b .
A modular approach to numerical human body modeling
Forbes, P.A.; Griotto, G.; Rooij, L. van
2007-01-01
The choice of a human body model for a simulated automotive impact scenario must take into account both accurate model response and computational efficiency as key factors. This study presents a "modular numerical human body modeling" approach which allows the creation of a customized human body
Mathematical Modeling in Mathematics Education: Basic Concepts and Approaches
Erbas, Ayhan Kürsat; Kertil, Mahmut; Çetinkaya, Bülent; Çakiroglu, Erdinç; Alacaci, Cengiz; Bas, Sinem
2014-01-01
Mathematical modeling and its role in mathematics education have been receiving increasing attention in Turkey, as in many other countries. The growing body of literature on this topic reveals a variety of approaches to mathematical modeling and related concepts, along with differing perspectives on the use of mathematical modeling in teaching and…
Implicit moral evaluations: A multinomial modeling approach.
Cameron, C Daryl; Payne, B Keith; Sinnott-Armstrong, Walter; Scheffer, Julian A; Inzlicht, Michael
2017-01-01
Implicit moral evaluations-i.e., immediate, unintentional assessments of the wrongness of actions or persons-play a central role in supporting moral behavior in everyday life. Yet little research has employed methods that rigorously measure individual differences in implicit moral evaluations. In five experiments, we develop a new sequential priming measure-the Moral Categorization Task-and a multinomial model that decomposes judgment on this task into multiple component processes. These include implicit moral evaluations of moral transgression primes (Unintentional Judgment), accurate moral judgments about target actions (Intentional Judgment), and a directional tendency to judge actions as morally wrong (Response Bias). Speeded response deadlines reduced Intentional Judgment but not Unintentional Judgment (Experiment 1). Unintentional Judgment was stronger toward moral transgression primes than non-moral negative primes (Experiments 2-4). Intentional Judgment was associated with increased error-related negativity, a neurophysiological indicator of behavioral control (Experiment 4). Finally, people who voted for an anti-gay marriage amendment had stronger Unintentional Judgment toward gay marriage primes (Experiment 5). Across Experiments 1-4, implicit moral evaluations converged with moral personality: Unintentional Judgment about wrong primes, but not negative primes, was negatively associated with psychopathic tendencies and positively associated with moral identity and guilt proneness. Theoretical and practical applications of formal modeling for moral psychology are discussed. Copyright © 2016 Elsevier B.V. All rights reserved.
Keyring models: An approach to steerability
Miller, Carl A.; Colbeck, Roger; Shi, Yaoyun
2018-02-01
If a measurement is made on one half of a bipartite system, then, conditioned on the outcome, the other half has a new reduced state. If these reduced states defy classical explanation—that is, if shared randomness cannot produce these reduced states for all possible measurements—the bipartite state is said to be steerable. Determining which states are steerable is a challenging problem even for low dimensions. In the case of two-qubit systems, a criterion is known for T-states (that is, those with maximally mixed marginals) under projective measurements. In the current work, we introduce the concept of keyring models—a special class of local hidden state models. When the measurements made correspond to real projectors, these allow us to study steerability beyond T-states. Using keyring models, we completely solve the steering problem for real projective measurements when the state arises from mixing a pure two-qubit state with uniform noise. We also give a partial solution in the case when the uniform noise is replaced by independent depolarizing channels.
Czech Academy of Sciences Publication Activity Database
Čech, František; Baruník, Jozef
2017-01-01
Roč. 36, č. 1 (2017), s. 181-206 ISSN 0277-6693 R&D Projects: GA ČR GA13-32263S Institutional support: RVO:67985556 Keywords : Multivariate volatility * realized covariance * portfolio optimisation Subject RIV: AH - Economics OBOR OECD: Economic Theory Impact factor: 0.747, year: 2016 http://library.utia.cas.cz/separaty/2017/E/barunik-0478479.pdf
Directory of Open Access Journals (Sweden)
A. M. Aibinu
2010-01-01
Full Text Available A new approach for determining the coefficients of a complex-valued autoregressive (CAR and complex-valued autoregressive moving average (CARMA model coefficients using complex-valued neural network (CVNN technique is discussed in this paper. The CAR and complex-valued moving average (CMA coefficients which constitute a CARMA model are computed simultaneously from the adaptive weights and coefficients of the linear activation functions in a two-layered CVNN. The performance of the proposed technique has been evaluated using simulated complex-valued data (CVD with three different types of activation functions. The results show that the proposed method can accurately determine the model coefficients provided that the network is properly trained. Furthermore, application of the developed CVNN-based technique for MRI K-space reconstruction results in images with improve resolution.
Functional RG approach to the Potts model
Ben Alì Zinati, Riccardo; Codello, Alessandro
2018-01-01
The critical behavior of the (n+1) -states Potts model in d-dimensions is studied with functional renormalization group techniques. We devise a general method to derive β-functions for continuous values of d and n and we write the flow equation for the effective potential (LPA’) when instead n is fixed. We calculate several critical exponents, which are found to be in good agreement with Monte Carlo simulations and ɛ-expansion results available in the literature. In particular, we focus on Percolation (n\\to0) and Spanning Forest (n\\to-1) which are the only non-trivial universality classes in d = 4,5 and where our methods converge faster.
Genetic Algorithm Approaches to Prebiobiotic Chemistry Modeling
Lohn, Jason; Colombano, Silvano
1997-01-01
We model an artificial chemistry comprised of interacting polymers by specifying two initial conditions: a distribution of polymers and a fixed set of reversible catalytic reactions. A genetic algorithm is used to find a set of reactions that exhibit a desired dynamical behavior. Such a technique is useful because it allows an investigator to determine whether a specific pattern of dynamics can be produced, and if it can, the reaction network found can be then analyzed. We present our results in the context of studying simplified chemical dynamics in theorized protocells - hypothesized precursors of the first living organisms. Our results show that given a small sample of plausible protocell reaction dynamics, catalytic reaction sets can be found. We present cases where this is not possible and also analyze the evolved reaction sets.
Fusion modeling approach for novel plasma sources
International Nuclear Information System (INIS)
Melazzi, D; Manente, M; Pavarin, D; Cardinali, A
2012-01-01
The physics involved in the coupling, propagation and absorption of RF helicon waves (electronic whistler) in low temperature Helicon plasma sources is investigated by solving the 3D Maxwell-Vlasov model equations using a WKB asymptotic expansion. The reduced set of equations is formally Hamiltonian and allows for the reconstruction of the wave front of the propagating wave, monitoring along the calculation that the WKB expansion remains satisfied. This method can be fruitfully employed in a new investigation of the power deposition mechanisms involved in common Helicon low temperature plasma sources when a general confinement magnetic field configuration is allowed, unveiling new physical insight in the wave propagation and absorption phenomena and stimulating further research for the design of innovative and more efficient low temperature plasma sources. A brief overview of this methodology and its capabilities has been presented in this paper.
Carbonate rock depositional models: A microfacies approach
Energy Technology Data Exchange (ETDEWEB)
Carozzi, A.V.
1988-01-01
Carbonate rocks contain more than 50% by weight carbonate minerals such as calcite, dolomite, and siderite. Understanding how these rocks form can lead to more efficient methods of petroleum exploration. Micofacies analysis techniques can be used as a method of predicting models of sedimentation for carbonate rocks. Micofacies in carbonate rocks can be seen clearly only in thin sections under a microscope. This section analysis of carbonate rocks is a tool that can be used to understand depositional environments, diagenetic evolution of carbonate rocks, and the formation of porosity and permeability in carbonate rocks. The use of micofacies analysis techniques is applied to understanding the origin and formation of carbonate ramps, carbonate platforms, and carbonate slopes and basins. This book will be of interest to students and professionals concerned with the disciplines of sedimentary petrology, sedimentology, petroleum geology, and palentology.
Wind Turbine Control: Robust Model Based Approach
DEFF Research Database (Denmark)
Mirzaei, Mahmood
. This is because, on the one hand, control methods can decrease the cost of energy by keeping the turbine close to its maximum efficiency. On the other hand, they can reduce structural fatigue and therefore increase the lifetime of the wind turbine. The power produced by a wind turbine is proportional...... to the square of its rotor radius, therefore it seems reasonable to increase the size of the wind turbine in order to capture more power. However as the size increases, the mass of the blades increases by cube of the rotor size. This means in order to keep structural feasibility and mass of the whole structure...... reasonable, the ratio of mass to size should be reduced. This trend results in more flexible structures. Control of the flexible structure of a wind turbine in a wind field with stochastic nature is very challenging. In this thesis we are examining a number of robust model based methods for wind turbine...
Risk prediction model: Statistical and artificial neural network approach
Paiman, Nuur Azreen; Hariri, Azian; Masood, Ibrahim
2017-04-01
Prediction models are increasingly gaining popularity and had been used in numerous areas of studies to complement and fulfilled clinical reasoning and decision making nowadays. The adoption of such models assist physician's decision making, individual's behavior, and consequently improve individual outcomes and the cost-effectiveness of care. The objective of this paper is to reviewed articles related to risk prediction model in order to understand the suitable approach, development and the validation process of risk prediction model. A qualitative review of the aims, methods and significant main outcomes of the nineteen published articles that developed risk prediction models from numerous fields were done. This paper also reviewed on how researchers develop and validate the risk prediction models based on statistical and artificial neural network approach. From the review done, some methodological recommendation in developing and validating the prediction model were highlighted. According to studies that had been done, artificial neural network approached in developing the prediction model were more accurate compared to statistical approach. However currently, only limited published literature discussed on which approach is more accurate for risk prediction model development.
A dual model approach to ground water recovery trench design
International Nuclear Information System (INIS)
Clodfelter, C.L.; Crouch, M.S.
1992-01-01
The design of trenches for contaminated ground water recovery must consider several variables. This paper presents a dual-model approach for effectively recovering contaminated ground water migrating toward a trench by advection. The approach involves an analytical model to determine the vertical influence of the trench and a numerical flow model to determine the capture zone within the trench and the surrounding aquifer. The analytical model is utilized by varying trench dimensions and head values to design a trench which meets the remediation criteria. The numerical flow model is utilized to select the type of backfill and location of sumps within the trench. The dual-model approach can be used to design a recovery trench which effectively captures advective migration of contaminants in the vertical and horizontal planes
MODELLING OF ORDINAL TIME SERIES BY PROPORTIONAL ODDS MODEL
Directory of Open Access Journals (Sweden)
Serpil AKTAŞ ALTUNAY
2013-06-01
Full Text Available Categorical time series data with random time dependent covariates often arise when the variable categories are assigned as categorical. There are several other models that have been proposed in the literature for the analysis of categorical time series. For example, Markov chain models, integer autoregressive processes, discrete ARMA models can be utilized for modeling of categorical time series. In general, the choice of model depends on the measurement of study variables: nominal, ordinal and interval. However, regression theory is successful approach for categorical time series which is based on generalized linear models and partial likelihood inference. One of the models for ordinal time series in regression theory is proportional odds model. In this study, proportional odds model approach to ordinal categorical time series is investigated based on a real air pollution data set and the results are discussed.
Simple queueing approach to segregation dynamics in Schelling model
Sobkowicz, Pawel
2007-01-01
A simple queueing approach for segregation of agents in modified one dimensional Schelling segregation model is presented. The goal is to arrive at simple formula for the number of unhappy agents remaining after the segregation.
Virtuous organization: A structural equation modeling approach
Directory of Open Access Journals (Sweden)
Majid Zamahani
2013-02-01
Full Text Available For years, the idea of virtue was unfavorable among researchers and virtues were traditionally considered as culture-specific, relativistic and they were supposed to be associated with social conservatism, religious or moral dogmatism, and scientific irrelevance. Virtue and virtuousness have been recently considered seriously among organizational researchers. The proposed study of this paper examines the relationships between leadership, organizational culture, human resource, structure and processes, care for community and virtuous organization. Structural equation modeling is employed to investigate the effects of each variable on other components. The data used in this study consists of questionnaire responses from employees in Payam e Noor University in Yazd province. A total of 250 questionnaires were sent out and a total of 211 valid responses were received. Our results have revealed that all the five variables have positive and significant impacts on virtuous organization. Among the five variables, organizational culture has the most direct impact (0.80 and human resource has the most total impact (0.844 on virtuous organization.
A systemic approach for modeling soil functions
Vogel, Hans-Jörg; Bartke, Stephan; Daedlow, Katrin; Helming, Katharina; Kögel-Knabner, Ingrid; Lang, Birgit; Rabot, Eva; Russell, David; Stößel, Bastian; Weller, Ulrich; Wiesmeier, Martin; Wollschläger, Ute
2018-03-01
The central importance of soil for the functioning of terrestrial systems is increasingly recognized. Critically relevant for water quality, climate control, nutrient cycling and biodiversity, soil provides more functions than just the basis for agricultural production. Nowadays, soil is increasingly under pressure as a limited resource for the production of food, energy and raw materials. This has led to an increasing demand for concepts assessing soil functions so that they can be adequately considered in decision-making aimed at sustainable soil management. The various soil science disciplines have progressively developed highly sophisticated methods to explore the multitude of physical, chemical and biological processes in soil. It is not obvious, however, how the steadily improving insight into soil processes may contribute to the evaluation of soil functions. Here, we present to a new systemic modeling framework that allows for a consistent coupling between reductionist yet observable indicators for soil functions with detailed process understanding. It is based on the mechanistic relationships between soil functional attributes, each explained by a network of interacting processes as derived from scientific evidence. The non-linear character of these interactions produces stability and resilience of soil with respect to functional characteristics. We anticipate that this new conceptional framework will integrate the various soil science disciplines and help identify important future research questions at the interface between disciplines. It allows the overwhelming complexity of soil systems to be adequately coped with and paves the way for steadily improving our capability to assess soil functions based on scientific understanding.
A Constructive Neural-Network Approach to Modeling Psychological Development
Shultz, Thomas R.
2012-01-01
This article reviews a particular computational modeling approach to the study of psychological development--that of constructive neural networks. This approach is applied to a variety of developmental domains and issues, including Piagetian tasks, shift learning, language acquisition, number comparison, habituation of visual attention, concept…
Towards Translating Graph Transformation Approaches by Model Transformations
Hermann, F.; Kastenberg, H.; Modica, T.; Karsai, G.; Taentzer, G.
2006-01-01
Recently, many researchers are working on semantics preserving model transformation. In the field of graph transformation one can think of translating graph grammars written in one approach to a behaviourally equivalent graph grammar in another approach. In this paper we translate graph grammars
An Almost Integration-free Approach to Ordered Response Models
van Praag, B.M.S.; Ferrer-i-Carbonell, A.
2006-01-01
'In this paper we propose an alternative approach to the estimation of ordered response models. We show that the Probit-method may be replaced by a simple OLS-approach, called P(robit)OLS, without any loss of efficiency. This method can be generalized to the analysis of panel data. For large-scale
Optimizing technology investments: a broad mission model approach
Shishko, R.
2003-01-01
A long-standing problem in NASA is how to allocate scarce technology development resources across advanced technologies in order to best support a large set of future potential missions. Within NASA, two orthogonal paradigms have received attention in recent years: the real-options approach and the broad mission model approach. This paper focuses on the latter.
A generalized quarter car modelling approach with frame flexibility ...
Indian Academy of Sciences (India)
... mass distribution and damping. Here we propose a generalized quarter-car modelling approach, incorporating both the frame as well as other-wheel ground contacts. Our approach is linear, uses Laplace transforms, involves vertical motions of key points of interest and has intermediate complexity with improved realism.
Numerical approaches to expansion process modeling
Directory of Open Access Journals (Sweden)
G. V. Alekseev
2017-01-01
Full Text Available Forage production is currently undergoing a period of intensive renovation and introduction of the most advanced technologies and equipment. More and more often such methods as barley toasting, grain extrusion, steaming and grain flattening, boiling bed explosion, infrared ray treatment of cereals and legumes, followed by flattening, and one-time or two-time granulation of the purified whole grain without humidification in matrix presses By grinding the granules. These methods require special apparatuses, machines, auxiliary equipment, created on the basis of different methods of compiled mathematical models. When roasting, simulating the heat fields arising in the working chamber, provide such conditions, the decomposition of a portion of the starch to monosaccharides, which makes the grain sweetish, but due to protein denaturation the digestibility of the protein and the availability of amino acids decrease somewhat. Grain is roasted mainly for young animals in order to teach them to eat food at an early age, stimulate the secretory activity of digestion, better development of the masticatory muscles. In addition, the high temperature is detrimental to bacterial contamination and various types of fungi, which largely avoids possible diseases of the gastrointestinal tract. This method has found wide application directly on the farms. Apply when used in feeding animals and legumes: peas, soy, lupine and lentils. These feeds are preliminarily ground, and then cooked or steamed for 1 hour for 30–40 minutes. In the feed mill. Such processing of feeds allows inactivating the anti-nutrients in them, which reduce the effectiveness of their use. After processing, legumes are used as protein supplements in an amount of 25–30% of the total nutritional value of the diet. But it is recommended to cook and steal a grain of good quality. A poor-quality grain that has been stored for a long time and damaged by pathogenic micro flora is subject to
Graphical approach to model reduction for nonlinear biochemical networks.
Holland, David O; Krainak, Nicholas C; Saucerman, Jeffrey J
2011-01-01
Model reduction is a central challenge to the development and analysis of multiscale physiology models. Advances in model reduction are needed not only for computational feasibility but also for obtaining conceptual insights from complex systems. Here, we introduce an intuitive graphical approach to model reduction based on phase plane analysis. Timescale separation is identified by the degree of hysteresis observed in phase-loops, which guides a "concentration-clamp" procedure for estimating explicit algebraic relationships between species equilibrating on fast timescales. The primary advantages of this approach over Jacobian-based timescale decomposition are that: 1) it incorporates nonlinear system dynamics, and 2) it can be easily visualized, even directly from experimental data. We tested this graphical model reduction approach using a 25-variable model of cardiac β(1)-adrenergic signaling, obtaining 6- and 4-variable reduced models that retain good predictive capabilities even in response to new perturbations. These 6 signaling species appear to be optimal "kinetic biomarkers" of the overall β(1)-adrenergic pathway. The 6-variable reduced model is well suited for integration into multiscale models of heart function, and more generally, this graphical model reduction approach is readily applicable to a variety of other complex biological systems.
Graphical approach to model reduction for nonlinear biochemical networks.
Directory of Open Access Journals (Sweden)
David O Holland
Full Text Available Model reduction is a central challenge to the development and analysis of multiscale physiology models. Advances in model reduction are needed not only for computational feasibility but also for obtaining conceptual insights from complex systems. Here, we introduce an intuitive graphical approach to model reduction based on phase plane analysis. Timescale separation is identified by the degree of hysteresis observed in phase-loops, which guides a "concentration-clamp" procedure for estimating explicit algebraic relationships between species equilibrating on fast timescales. The primary advantages of this approach over Jacobian-based timescale decomposition are that: 1 it incorporates nonlinear system dynamics, and 2 it can be easily visualized, even directly from experimental data. We tested this graphical model reduction approach using a 25-variable model of cardiac β(1-adrenergic signaling, obtaining 6- and 4-variable reduced models that retain good predictive capabilities even in response to new perturbations. These 6 signaling species appear to be optimal "kinetic biomarkers" of the overall β(1-adrenergic pathway. The 6-variable reduced model is well suited for integration into multiscale models of heart function, and more generally, this graphical model reduction approach is readily applicable to a variety of other complex biological systems.
Poliakova, Natalia; Dionne, Ginette; Dubreuil, Etienne; Ditto, Blaine; Pihl, Robert O; Pérusse, Daniel; Tremblay, Richard E; Boivin, Michel
2014-06-01
Little empirical evidence exists on the comparability of heart rate variability (HRV) quantification methods commonly used in infants. The aim was to compare three methods of HRV estimation: (1) fast Fourier transform (FFT), (2) autoregressive (AR), and (3) the Porges methods. HRV was estimated in 63 healthy 5-month-old infants. HRV parameters were strongly correlated across methods (.92-.99) but yielded significantly different mean HRV estimates (Porges method > FFT > AR). There was no systematic bias over the whole range of values between the two spectral approaches, while differences between the Porges method and the spectral estimates were systematically greater for larger values. Additional comparative studies are needed to explore the between-method agreement across a range of physiological conditions. Copyright © 2014 Society for Psychophysiological Research.
System Model Bias Processing Approach for Regional Coordinated States Information Involved Filtering
Directory of Open Access Journals (Sweden)
Zebo Zhou
2016-01-01
Full Text Available In the Kalman filtering applications, the conventional dynamic model which connects the states information of two consecutive epochs by state transition matrix is usually predefined and assumed to be invariant. Aiming to improve the adaptability and accuracy of dynamic model, we propose multiple historical states involved filtering algorithm. An autoregressive model is used as the dynamic model which is subsequently combined with observation model for deriving the optimal window-recursive filter formulae in the sense of minimum mean square error principle. The corresponding test statistics characteristics of system residuals are discussed in details. The test statistics of regional predicted residuals are then constructed in a time-window for model bias testing with two hypotheses, that is, the null and alternative hypotheses. Based on the innovations test statistics, we develop a model bias processing procedure including bias detection, location identification, and state correction. Finally, the minimum detectable bias and bias-to-noise ratio are both computed for evaluating the internal and external reliability of overall system, respectively.
Data Analysis A Model Comparison Approach, Second Edition
Judd, Charles M; Ryan, Carey S
2008-01-01
This completely rewritten classic text features many new examples, insights and topics including mediational, categorical, and multilevel models. Substantially reorganized, this edition provides a briefer, more streamlined examination of data analysis. Noted for its model-comparison approach and unified framework based on the general linear model, the book provides readers with a greater understanding of a variety of statistical procedures. This consistent framework, including consistent vocabulary and notation, is used throughout to develop fewer but more powerful model building techniques. T
A Model Management Approach for Co-Simulation Model Evaluation
Zhang, X.C.; Broenink, Johannes F.; Filipe, Joaquim; Kacprzyk, Janusz; Pina, Nuno
2011-01-01
Simulating formal models is a common means for validating the correctness of the system design and reduce the time-to-market. In most of the embedded control system design, multiple engineering disciplines and various domain-specific models are often involved, such as mechanical, control, software
Nonlinear time series modeling and forecasting the seismic data of the Hindu Kush region
Khan, Muhammad Yousaf; Mittnik, Stefan
2017-11-01
In this study, we extended the application of linear and nonlinear time models in the field of earthquake seismology and examined the out-of-sample forecast accuracy of linear Autoregressive (AR), Autoregressive Conditional Duration (ACD), Self-Exciting Threshold Autoregressive (SETAR), Threshold Autoregressive (TAR), Logistic Smooth Transition Autoregressive (LSTAR), Additive Autoregressive (AAR), and Artificial Neural Network (ANN) models for seismic data of the Hindu Kush region. We also extended the previous studies by using Vector Autoregressive (VAR) and Threshold Vector Autoregressive (TVAR) models and compared their forecasting accuracy with linear AR model. Unlike previous studies that typically consider the threshold model specifications by using internal threshold variable, we specified these models with external transition variables and compared their out-of-sample forecasting performance with the linear benchmark AR model. The modeling results show that time series models used in the present study are capable of capturing the dynamic structure present in the seismic data. The point forecast results indicate that the AR model generally outperforms the nonlinear models. However, in some cases, threshold models with external threshold variables specification produce more accurate forecasts, indicating that specification of threshold time series models is of crucial importance. For raw seismic data, the ACD model does not show an improved out-of-sample forecasting performance over the linear AR model. The results indicate that the AR model is the best forecasting device to model and forecast the raw seismic data of the Hindu Kush region.
Nonlinear time series modeling and forecasting the seismic data of the Hindu Kush region
Khan, Muhammad Yousaf; Mittnik, Stefan
2018-01-01
In this study, we extended the application of linear and nonlinear time models in the field of earthquake seismology and examined the out-of-sample forecast accuracy of linear Autoregressive (AR), Autoregressive Conditional Duration (ACD), Self-Exciting Threshold Autoregressive (SETAR), Threshold Autoregressive (TAR), Logistic Smooth Transition Autoregressive (LSTAR), Additive Autoregressive (AAR), and Artificial Neural Network (ANN) models for seismic data of the Hindu Kush region. We also extended the previous studies by using Vector Autoregressive (VAR) and Threshold Vector Autoregressive (TVAR) models and compared their forecasting accuracy with linear AR model. Unlike previous studies that typically consider the threshold model specifications by using internal threshold variable, we specified these models with external transition variables and compared their out-of-sample forecasting performance with the linear benchmark AR model. The modeling results show that time series models used in the present study are capable of capturing the dynamic structure present in the seismic data. The point forecast results indicate that the AR model generally outperforms the nonlinear models. However, in some cases, threshold models with external threshold variables specification produce more accurate forecasts, indicating that specification of threshold time series models is of crucial importance. For raw seismic data, the ACD model does not show an improved out-of-sample forecasting performance over the linear AR model. The results indicate that the AR model is the best forecasting device to model and forecast the raw seismic data of the Hindu Kush region.
A novel approach to modeling and diagnosing the cardiovascular system
Energy Technology Data Exchange (ETDEWEB)
Keller, P.E.; Kangas, L.J.; Hashem, S.; Kouzes, R.T. [Pacific Northwest Lab., Richland, WA (United States); Allen, P.A. [Life Link, Richland, WA (United States)
1995-07-01
A novel approach to modeling and diagnosing the cardiovascular system is introduced. A model exhibits a subset of the dynamics of the cardiovascular behavior of an individual by using a recurrent artificial neural network. Potentially, a model will be incorporated into a cardiovascular diagnostic system. This approach is unique in that each cardiovascular model is developed from physiological measurements of an individual. Any differences between the modeled variables and the variables of an individual at a given time are used for diagnosis. This approach also exploits sensor fusion to optimize the utilization of biomedical sensors. The advantage of sensor fusion has been demonstrated in applications including control and diagnostics of mechanical and chemical processes.
A model-driven approach to information security compliance
Correia, Anacleto; Gonçalves, António; Teodoro, M. Filomena
2017-06-01
The availability, integrity and confidentiality of information are fundamental to the long-term survival of any organization. Information security is a complex issue that must be holistically approached, combining assets that support corporate systems, in an extended network of business partners, vendors, customers and other stakeholders. This paper addresses the conception and implementation of information security systems, conform the ISO/IEC 27000 set of standards, using the model-driven approach. The process begins with the conception of a domain level model (computation independent model) based on information security vocabulary present in the ISO/IEC 27001 standard. Based on this model, after embedding in the model mandatory rules for attaining ISO/IEC 27001 conformance, a platform independent model is derived. Finally, a platform specific model serves the base for testing the compliance of information security systems with the ISO/IEC 27000 set of standards.
Reusable Component Model Development Approach for Parallel and Distributed Simulation
Zhu, Feng; Yao, Yiping; Chen, Huilong; Yao, Feng
2014-01-01
Model reuse is a key issue to be resolved in parallel and distributed simulation at present. However, component models built by different domain experts usually have diversiform interfaces, couple tightly, and bind with simulation platforms closely. As a result, they are difficult to be reused across different simulation platforms and applications. To address the problem, this paper first proposed a reusable component model framework. Based on this framework, then our reusable model development approach is elaborated, which contains two phases: (1) domain experts create simulation computational modules observing three principles to achieve their independence; (2) model developer encapsulates these simulation computational modules with six standard service interfaces to improve their reusability. The case study of a radar model indicates that the model developed using our approach has good reusability and it is easy to be used in different simulation platforms and applications. PMID:24729751
Mathematical models for therapeutic approaches to control HIV disease transmission
Roy, Priti Kumar
2015-01-01
The book discusses different therapeutic approaches based on different mathematical models to control the HIV/AIDS disease transmission. It uses clinical data, collected from different cited sources, to formulate the deterministic as well as stochastic mathematical models of HIV/AIDS. It provides complementary approaches, from deterministic and stochastic points of view, to optimal control strategy with perfect drug adherence and also tries to seek viewpoints of the same issue from different angles with various mathematical models to computer simulations. The book presents essential methods and techniques for students who are interested in designing epidemiological models on HIV/AIDS. It also guides research scientists, working in the periphery of mathematical modeling, and helps them to explore a hypothetical method by examining its consequences in the form of a mathematical modelling and making some scientific predictions. The model equations, mathematical analysis and several numerical simulations that are...
Directory of Open Access Journals (Sweden)
Jinbao Zhao
2018-02-01
Full Text Available Transportation is generally perceived as a catalyst for economic development. This has been highlighted in previous studies. However, less attention has been paid to examine the relationship between economy and transport demand by exploring spatially cross-sectional data, especially for countries with significant regional economic imbalance, like China. In this article, we assess the economic influence of intercity multimodal transport demand at the prefecture level in China. Spatial autoregressive regression models are used to examine the impact of transport demand on economy by deep analysis of transport modes (land, air, and water and regions (eastern, central, and western. Through contrasting results from spatial lag model and spatial error model with those from the ordinary least square, this study finds that the estimation results can become more accurate by controlling for spatial autocorrelation, especially at the national level. Through rigorous analysis it is identified that except for water passenger traffic, all other intercity transport demand significantly contribute to a city’s economic development level in gross domestic product. In particular, air transport demands distribute more evenly and are estimated with the highest beta coefficients at both national and regional levels. In addition, the beta coefficients for land, air and water transportation are estimated with different magnitudes and significances at the national and regional levels. This study contributes to the ongoing discussion on the relationship between intercity multimodal transport demand and economic development level. Findings from this paper provide planning makers with valid and efficient strategies to better develop the economy by leveraging the special “⊣” cluster pattern of economic development and the benefits of air transportation.
Volatility in GARCH Models of Business Tendency Index
Wahyuni, Dwi A. S.; Wage, Sutarman; Hartono, Ateng
2018-01-01
This paper aims to obtain a model of business tendency index by considering volatility factor. Volatility factor detected by ARCH (Autoregressive Conditional Heteroscedasticity). The ARCH checking was performed using the Lagrange multiplier test. The modeling is Generalized Autoregressive Conditional Heteroscedasticity (GARCH) are able to overcome volatility problems by incorporating past residual elements and residual variants.
Modelling conditional heteroskedasticity in JSE stock returns using ...
African Journals Online (AJOL)
In stage one we fi t an Autoregressive Moving Average–Generalised Autoregressive Conditional Heteroskedastic (ARMA-GARCH) model to the stock return series. In stage two we filter the residuals from the ARMA-GARCH model. We then fi t a Generalised Pareto Distribution (GPD) to the upper tail of the residual series, ...
Forecasting daily lake levels using artificial intelligence approaches
Kisi, Ozgur; Shiri, Jalal; Nikoofar, Bagher
2012-04-01
Accurate prediction of lake-level variations is important for planning, design, construction, and operation of lakeshore structures and also in the management of freshwater lakes for water supply purposes. In the present paper, three artificial intelligence approaches, namely artificial neural networks (ANNs), adaptive-neuro-fuzzy inference system (ANFIS), and gene expression programming (GEP), were applied to forecast daily lake-level variations up to 3-day ahead time intervals. The measurements at the Lake Iznik in Western Turkey, for the period of January 1961-December 1982, were used for training, testing, and validating the employed models. The results obtained by the GEP approach indicated that it performs better than ANFIS and ANNs in predicting lake-level variations. A comparison was also made between these artificial intelligence approaches and convenient autoregressive moving average (ARMA) models, which demonstrated the superiority of GEP, ANFIS, and ANN models over ARMA models.
Surfleet, Christopher G.; Tullos, Desirèe; Chang, Heejun; Jung, Il-Won
2012-09-01
SummaryA wide variety of approaches to hydrologic (rainfall-runoff) modeling of river basins confounds our ability to select, develop, and interpret models, particularly in the evaluation of prediction uncertainty associated with climate change assessment. To inform the model selection process, we characterized and compared three structurally-distinct approaches and spatial scales of parameterization to modeling catchment hydrology: a large-scale approach (using the VIC model; 671,000 km2 area), a basin-scale approach (using the PRMS model; 29,700 km2 area), and a site-specific approach (the GSFLOW model; 4700 km2 area) forced by the same future climate estimates. For each approach, we present measures of fit to historic observations and predictions of future response, as well as estimates of model parameter uncertainty, when available. While the site-specific approach generally had the best fit to historic measurements, the performance of the model approaches varied. The site-specific approach generated the best fit at unregulated sites, the large scale approach performed best just downstream of flood control projects, and model performance varied at the farthest downstream sites where streamflow regulation is mitigated to some extent by unregulated tributaries and water diversions. These results illustrate how selection of a modeling approach and interpretation of climate change projections require (a) appropriate parameterization of the models for climate and hydrologic processes governing runoff generation in the area under study, (b) understanding and justifying the assumptions and limitations of the model, and (c) estimates of uncertainty associated with the modeling approach.
Interoperable transactions in business models: A structured approach
Weigand, H.; Verharen, E.; Dignum, F.P.M.
1996-01-01
Recent database research has given much attention to the specification of "flexible" transactions that can be used in interoperable systems. Starting from a quite different angle, Business Process Modelling has approached the area of communication modelling as well (the Language/Action
A Model-Driven Approach to e-Course Management
Savic, Goran; Segedinac, Milan; Milenkovic, Dušica; Hrin, Tamara; Segedinac, Mirjana
2018-01-01
This paper presents research on using a model-driven approach to the development and management of electronic courses. We propose a course management system which stores a course model represented as distinct machine-readable components containing domain knowledge of different course aspects. Based on this formally defined platform-independent…
Modeling Alaska boreal forests with a controlled trend surface approach
Mo Zhou; Jingjing Liang
2012-01-01
An approach of Controlled Trend Surface was proposed to simultaneously take into consideration large-scale spatial trends and nonspatial effects. A geospatial model of the Alaska boreal forest was developed from 446 permanent sample plots, which addressed large-scale spatial trends in recruitment, diameter growth, and mortality. The model was tested on two sets of...
Sensitivity analysis approaches applied to systems biology models.
Zi, Z
2011-11-01
With the rising application of systems biology, sensitivity analysis methods have been widely applied to study the biological systems, including metabolic networks, signalling pathways and genetic circuits. Sensitivity analysis can provide valuable insights about how robust the biological responses are with respect to the changes of biological parameters and which model inputs are the key factors that affect the model outputs. In addition, sensitivity analysis is valuable for guiding experimental analysis, model reduction and parameter estimation. Local and global sensitivity analysis approaches are the two types of sensitivity analysis that are commonly applied in systems biology. Local sensitivity analysis is a classic method that studies the impact of small perturbations on the model outputs. On the other hand, global sensitivity analysis approaches have been applied to understand how the model outputs are affected by large variations of the model input parameters. In this review, the author introduces the basic concepts of sensitivity analysis approaches applied to systems biology models. Moreover, the author discusses the advantages and disadvantages of different sensitivity analysis methods, how to choose a proper sensitivity analysis approach, the available sensitivity analysis tools for systems biology models and the caveats in the interpretation of sensitivity analysis results.
Towards modeling future energy infrastructures - the ELECTRA system engineering approach
DEFF Research Database (Denmark)
Uslar, Mathias; Heussen, Kai
2016-01-01
of the IEC 62559 use case template as well as needed changes to cope particularly with the aspects of controller conflicts and Greenfield technology modeling. From the original envisioned use of the standards, we show a possible transfer on how to properly deal with a Greenfield approach when modeling....
Child human model development: a hybrid validation approach
Forbes, P.A.; Rooij, L. van; Rodarius, C.; Crandall, J.
2008-01-01
The current study presents a development and validation approach of a child human body model that will help understand child impact injuries and improve the biofidelity of child anthropometric test devices. Due to the lack of fundamental child biomechanical data needed to fully develop such models a
Refining the Committee Approach and Uncertainty Prediction in Hydrological Modelling
Kayastha, N.
2014-01-01
Due to the complexity of hydrological systems a single model may be unable to capture the full range of a catchment response and accurately predict the streamflows. The multi modelling approach opens up possibilities for handling such difficulties and allows improve the predictive capability of
Refining the committee approach and uncertainty prediction in hydrological modelling
Kayastha, N.
2014-01-01
Due to the complexity of hydrological systems a single model may be unable to capture the full range of a catchment response and accurately predict the streamflows. The multi modelling approach opens up possibilities for handling such difficulties and allows improve the predictive capability of
Product Trial Processing (PTP): a model approach from ...
African Journals Online (AJOL)
Product Trial Processing (PTP): a model approach from theconsumer's perspective. ... Global Journal of Social Sciences ... Among the constructs used in the model of consumer's processing of product trail includes; experiential and non- experiential attributes, perceived validity of product trial, consumer perceived expertise, ...
A MIXTURE LIKELIHOOD APPROACH FOR GENERALIZED LINEAR-MODELS
WEDEL, M; DESARBO, WS
1995-01-01
A mixture model approach is developed that simultaneously estimates the posterior membership probabilities of observations to a number of unobservable groups or latent classes, and the parameters of a generalized linear model which relates the observations, distributed according to some member of
Meta-analysis a structural equation modeling approach
Cheung, Mike W-L
2015-01-01
Presents a novel approach to conducting meta-analysis using structural equation modeling. Structural equation modeling (SEM) and meta-analysis are two powerful statistical methods in the educational, social, behavioral, and medical sciences. They are often treated as two unrelated topics in the literature. This book presents a unified framework on analyzing meta-analytic data within the SEM framework, and illustrates how to conduct meta-analysis using the metaSEM package in the R statistical environment. Meta-Analysis: A Structural Equation Modeling Approach begins by introducing the impo
A study of multidimensional modeling approaches for data warehouse
Yusof, Sharmila Mat; Sidi, Fatimah; Ibrahim, Hamidah; Affendey, Lilly Suriani
2016-08-01
Data warehouse system is used to support the process of organizational decision making. Hence, the system must extract and integrate information from heterogeneous data sources in order to uncover relevant knowledge suitable for decision making process. However, the development of data warehouse is a difficult and complex process especially in its conceptual design (multidimensional modeling). Thus, there have been various approaches proposed to overcome the difficulty. This study surveys and compares the approaches of multidimensional modeling and highlights the issues, trend and solution proposed to date. The contribution is on the state of the art of the multidimensional modeling design.
Numerical linked-cluster approach to quantum lattice models.
Rigol, Marcos; Bryant, Tyler; Singh, Rajiv R P
2006-11-03
We present a novel algorithm that allows one to obtain temperature dependent properties of quantum lattice models in the thermodynamic limit from exact diagonalization of small clusters. Our numerical linked-cluster approach provides a systematic framework to assess finite-size effects and is valid for any quantum lattice model. Unlike high temperature expansions, which have a finite radius of convergence in inverse temperature, these calculations are accurate at all temperatures provided the range of correlations is finite. We illustrate the power of our approach studying spin models on kagomé, triangular, and square lattices.
Metamodelling Approach and Software Tools for Physical Modelling and Simulation
Directory of Open Access Journals (Sweden)
Vitaliy Mezhuyev
2015-02-01
Full Text Available In computer science, metamodelling approach becomes more and more popular for the purpose of software systems development. In this paper, we discuss applicability of the metamodelling approach for development of software tools for physical modelling and simulation.To define a metamodel for physical modelling the analysis of physical models will be done. The result of such the analyses will show the invariant physical structures, we propose to use as the basic abstractions of the physical metamodel. It is a system of geometrical objects, allowing to build a spatial structure of physical models and to set a distribution of physical properties. For such geometry of distributed physical properties, the different mathematical methods can be applied. To prove the proposed metamodelling approach, we consider the developed prototypes of software tools.
Learning the Task Management Space of an Aircraft Approach Model
Krall, Joseph; Menzies, Tim; Davies, Misty
2014-01-01
Validating models of airspace operations is a particular challenge. These models are often aimed at finding and exploring safety violations, and aim to be accurate representations of real-world behavior. However, the rules governing the behavior are quite complex: nonlinear physics, operational modes, human behavior, and stochastic environmental concerns all determine the responses of the system. In this paper, we present a study on aircraft runway approaches as modeled in Georgia Tech's Work Models that Compute (WMC) simulation. We use a new learner, Genetic-Active Learning for Search-Based Software Engineering (GALE) to discover the Pareto frontiers defined by cognitive structures. These cognitive structures organize the prioritization and assignment of tasks of each pilot during approaches. We discuss the benefits of our approach, and also discuss future work necessary to enable uncertainty quantification.
An integrated modeling approach to age invariant face recognition
Alvi, Fahad Bashir; Pears, Russel
2015-03-01
This Research study proposes a novel method for face recognition based on Anthropometric features that make use of an integrated approach comprising of a global and personalized models. The system is aimed to at situations where lighting, illumination, and pose variations cause problems in face recognition. A Personalized model covers the individual aging patterns while a Global model captures general aging patterns in the database. We introduced a de-aging factor that de-ages each individual in the database test and training sets. We used the k nearest neighbor approach for building a personalized model and global model. Regression analysis was applied to build the models. During the test phase, we resort to voting on different features. We used FG-Net database for checking the results of our technique and achieved 65 percent Rank 1 identification rate.
Modeling Approaches and Systems Related to Structured Modeling.
1987-02-01
Lasdon > and Maturana > for surveys of several modern systems. A -6- N NN- %0 CAMPS (Lucas and Mitra >) -- Computer Assisted Mathe- %l...583-589. MATURANA , S. >. "Comparative Analysis of Mathematical Modeling Systems," informal note, Graduate School of Manage- ment, UCLA, February
Soil moisture simulations using two different modelling approaches
Czech Academy of Sciences Publication Activity Database
Šípek, Václav; Tesař, Miroslav
2013-01-01
Roč. 64, 3-4 (2013), s. 99-103 ISSN 0006-5471 R&D Projects: GA AV ČR IAA300600901; GA ČR GA205/08/1174 Institutional research plan: CEZ:AV0Z20600510 Keywords : soil moisture modelling * SWIM model * box modelling approach Subject RIV: DA - Hydrology ; Limnology http://www.boku.ac.at/diebodenkultur/volltexte/sondernummern/band-64/heft-3-4/sipek.pdf
A generic approach to haptic modeling of textile artifacts
Shidanshidi, H.; Naghdy, F.; Naghdy, G.; Wood Conroy, D.
2009-08-01
Haptic Modeling of textile has attracted significant interest over the last decade. In spite of extensive research, no generic system has been proposed. The previous work mainly assumes that textile has a 2D planar structure. They also require time-consuming measurement of textile properties in construction of the mechanical model. A novel approach for haptic modeling of textile is proposed to overcome the existing shortcomings. The method is generic, assumes a 3D structure for the textile, and deploys computational intelligence to estimate the mechanical properties of textile. The approach is designed primarily for display of textile artifacts in museums. The haptic model is constructed by superimposing the mechanical model of textile over its geometrical model. Digital image processing is applied to the still image of textile to identify its pattern and structure through a fuzzy rule-base algorithm. The 3D geometric model of the artifact is automatically generated in VRML based on the identified pattern and structure obtained from the textile image. Selected mechanical properties of the textile are estimated by an artificial neural network; deploying the textile geometric characteristics and yarn properties as inputs. The estimated mechanical properties are then deployed in the construction of the textile mechanical model. The proposed system is introduced and the developed algorithms are described. The validation of method indicates the feasibility of the approach and its superiority to other haptic modeling algorithms.
Modeling gene expression measurement error: a quasi-likelihood approach
Directory of Open Access Journals (Sweden)
Strimmer Korbinian
2003-03-01
Full Text Available Abstract Background Using suitable error models for gene expression measurements is essential in the statistical analysis of microarray data. However, the true probabilistic model underlying gene expression intensity readings is generally not known. Instead, in currently used approaches some simple parametric model is assumed (usually a transformed normal distribution or the empirical distribution is estimated. However, both these strategies may not be optimal for gene expression data, as the non-parametric approach ignores known structural information whereas the fully parametric models run the risk of misspecification. A further related problem is the choice of a suitable scale for the model (e.g. observed vs. log-scale. Results Here a simple semi-parametric model for gene expression measurement error is presented. In this approach inference is based an approximate likelihood function (the extended quasi-likelihood. Only partial knowledge about the unknown true distribution is required to construct this function. In case of gene expression this information is available in the form of the postulated (e.g. quadratic variance structure of the data. As the quasi-likelihood behaves (almost like a proper likelihood, it allows for the estimation of calibration and variance parameters, and it is also straightforward to obtain corresponding approximate confidence intervals. Unlike most other frameworks, it also allows analysis on any preferred scale, i.e. both on the original linear scale as well as on a transformed scale. It can also be employed in regression approaches to model systematic (e.g. array or dye effects. Conclusions The quasi-likelihood framework provides a simple and versatile approach to analyze gene expression data that does not make any strong distributional assumptions about the underlying error model. For several simulated as well as real data sets it provides a better fit to the data than competing models. In an example it also
Water temperature modeling in the Garonne River (France
Directory of Open Access Journals (Sweden)
Larnier K.
2010-10-01
Full Text Available Stream water temperature is one of the most important parameters for water quality and ecosystem studies. Temperature can influence many chemical and biological processes and therefore impacts on the living conditions and distribution of aquatic ecosystems. Simplified models such as statistical models can be very useful for practitioners and water resource management. The present study assessed two statistical models – an equilibrium-based model and stochastic autoregressive model with exogenous inputs – in modeling daily mean water temperatures in the Garonne River from 1988 to 2005. The equilibrium temperature-based model is an approach where net heat flux at the water surface is expressed as a simpler form than in traditional deterministic models. The stochastic autoregressive model with exogenous inputs consists of decomposing the water temperature time series into a seasonal component and a short-term component (residual component. The seasonal component was modeled by Fourier series and residuals by a second-order autoregressive process (Markov chain with use of short-term air temperatures as exogenous input. The models were calibrated using data of the first half of the period 1988–2005 and validated on the second half. Calibration of the models was done using temperatures above 20 °C only to ensure better prediction of high temperatures that are currently at stake for the aquatic conditions of the Garonne River, and particularly for freshwater migrating fishes such as Atlantic Salmon (Salmo salar L.. The results obtained for both approaches indicated that both models performed well with an average root mean square error for observed temperatures above 20 °C that varied on an annual basis from 0.55 °C to 1.72 °C on validation, and good predictions of temporal occurrences and durations of three temperature threshold crossings linked to the conditions of migration and survival of Atlantic Salmon.
Wave Resource Characterization Using an Unstructured Grid Modeling Approach
Directory of Open Access Journals (Sweden)
Wei-Cheng Wu
2018-03-01
Full Text Available This paper presents a modeling study conducted on the central Oregon coast for wave resource characterization, using the unstructured grid Simulating WAve Nearshore (SWAN model coupled with a nested grid WAVEWATCH III® (WWIII model. The flexibility of models with various spatial resolutions and the effects of open boundary conditions simulated by a nested grid WWIII model with different physics packages were evaluated. The model results demonstrate the advantage of the unstructured grid-modeling approach for flexible model resolution and good model skills in simulating the six wave resource parameters recommended by the International Electrotechnical Commission in comparison to the observed data in Year 2009 at National Data Buoy Center Buoy 46050. Notably, spectral analysis indicates that the ST4 physics package improves upon the ST2 physics package’s ability to predict wave power density for large waves, which is important for wave resource assessment, load calculation of devices, and risk management. In addition, bivariate distributions show that the simulated sea state of maximum occurrence with the ST4 physics package matched the observed data better than with the ST2 physics package. This study demonstrated that the unstructured grid wave modeling approach, driven by regional nested grid WWIII outputs along with the ST4 physics package, can efficiently provide accurate wave hindcasts to support wave resource characterization. Our study also suggests that wind effects need to be considered if the dimension of the model domain is greater than approximately 100 km, or O (102 km.
Intelligent Transportation and Evacuation Planning A Modeling-Based Approach
Naser, Arab
2012-01-01
Intelligent Transportation and Evacuation Planning: A Modeling-Based Approach provides a new paradigm for evacuation planning strategies and techniques. Recently, evacuation planning and modeling have increasingly attracted interest among researchers as well as government officials. This interest stems from the recent catastrophic hurricanes and weather-related events that occurred in the southeastern United States (Hurricane Katrina and Rita). The evacuation methods that were in place before and during the hurricanes did not work well and resulted in thousands of deaths. This book offers insights into the methods and techniques that allow for implementing mathematical-based, simulation-based, and integrated optimization and simulation-based engineering approaches for evacuation planning. This book also: Comprehensively discusses the application of mathematical models for evacuation and intelligent transportation modeling Covers advanced methodologies in evacuation modeling and planning Discusses principles a...
A review of function modeling: Approaches and applications
Erden, M.S.; Komoto, H.; Van Beek, T.J.; D'Amelio, V.; Echavarria, E.; Tomiyama, T.
2008-01-01
This work is aimed at establishing a common frame and understanding of function modeling (FM) for our ongoing research activities. A comparative review of the literature is performed to grasp the various FM approaches with their commonalities and differences. The relations of FM with the research fields of artificial intelligence, design theory, and maintenance are discussed. In this discussion the goals are to highlight the features of various classical approaches in relation to FM, to delin...
Semi-parametric estimation for ARCH models
Directory of Open Access Journals (Sweden)
Raed Alzghool
2018-03-01
Full Text Available In this paper, we conduct semi-parametric estimation for autoregressive conditional heteroscedasticity (ARCH model with Quasi likelihood (QL and Asymptotic Quasi-likelihood (AQL estimation methods. The QL approach relaxes the distributional assumptions of ARCH processes. The AQL technique is obtained from the QL method when the process conditional variance is unknown. We present an application of the methods to a daily exchange rate series. Keywords: ARCH model, Quasi likelihood (QL, Asymptotic Quasi-likelihood (AQL, Martingale difference, Kernel estimator
A model-data based systems approach to process intensification
DEFF Research Database (Denmark)
Gani, Rafiqul
. Their developments, however, are largely due to experiment based trial and error approaches and while they do not require validation, they can be time consuming and resource intensive. Also, one may ask, can a truly new intensified unit operation be obtained in this way? An alternative two-stage approach is to apply...... a model-based synthesis method to systematically generate and evaluate alternatives in the first stage and an experiment-model based validation in the second stage. In this way, the search for alternatives is done very quickly, reliably and systematically over a wide range, while resources are preserved...... for focused validation of only the promising candidates in the second-stage. This approach, however, would be limited to intensification based on “known” unit operations, unless the PI process synthesis/design is considered at a lower level of aggregation, namely the phenomena level. That is, the model-based...
METHODOLOGICAL APPROACHES FOR MODELING THE RURAL SETTLEMENT DEVELOPMENT
Directory of Open Access Journals (Sweden)
Gorbenkova Elena Vladimirovna
2017-10-01
Full Text Available Subject: the paper describes the research results on validation of a rural settlement developmental model. The basic methods and approaches for solving the problem of assessment of the urban and rural settlement development efficiency are considered. Research objectives: determination of methodological approaches to modeling and creating a model for the development of rural settlements. Materials and methods: domestic and foreign experience in modeling the territorial development of urban and rural settlements and settlement structures was generalized. The motivation for using the Pentagon-model for solving similar problems was demonstrated. Based on a systematic analysis of existing development models of urban and rural settlements as well as the authors-developed method for assessing the level of agro-towns development, the systems/factors that are necessary for a rural settlement sustainable development are identified. Results: we created the rural development model which consists of five major systems that include critical factors essential for achieving a sustainable development of a settlement system: ecological system, economic system, administrative system, anthropogenic (physical system and social system (supra-structure. The methodological approaches for creating an evaluation model of rural settlements development were revealed; the basic motivating factors that provide interrelations of systems were determined; the critical factors for each subsystem were identified and substantiated. Such an approach was justified by the composition of tasks for territorial planning of the local and state administration levels. The feasibility of applying the basic Pentagon-model, which was successfully used for solving the analogous problems of sustainable development, was shown. Conclusions: the resulting model can be used for identifying and substantiating the critical factors for rural sustainable development and also become the basis of
An algebraic approach to modeling in software engineering
International Nuclear Information System (INIS)
Loegel, C.J.; Ravishankar, C.V.
1993-09-01
Our work couples the formalism of universal algebras with the engineering techniques of mathematical modeling to develop a new approach to the software engineering process. Our purpose in using this combination is twofold. First, abstract data types and their specification using universal algebras can be considered a common point between the practical requirements of software engineering and the formal specification of software systems. Second, mathematical modeling principles provide us with a means for effectively analyzing real-world systems. We first use modeling techniques to analyze a system and then represent the analysis using universal algebras. The rest of the software engineering process exploits properties of universal algebras that preserve the structure of our original model. This paper describes our software engineering process and our experience using it on both research and commercial systems. We need a new approach because current software engineering practices often deliver software that is difficult to develop and maintain. Formal software engineering approaches use universal algebras to describe ''computer science'' objects like abstract data types, but in practice software errors are often caused because ''real-world'' objects are improperly modeled. There is a large semantic gap between the customer's objects and abstract data types. In contrast, mathematical modeling uses engineering techniques to construct valid models for real-world systems, but these models are often implemented in an ad hoc manner. A combination of the best features of both approaches would enable software engineering to formally specify and develop software systems that better model real systems. Software engineering, like mathematical modeling, should concern itself first and foremost with understanding a real system and its behavior under given circumstances, and then with expressing this knowledge in an executable form
Joint Modeling of Multiple Crimes: A Bayesian Spatial Approach
Directory of Open Access Journals (Sweden)
Hongqiang Liu
2017-01-01
Full Text Available A multivariate Bayesian spatial modeling approach was used to jointly model the counts of two types of crime, i.e., burglary and non-motor vehicle theft, and explore the geographic pattern of crime risks and relevant risk factors. In contrast to the univariate model, which assumes independence across outcomes, the multivariate approach takes into account potential correlations between crimes. Six independent variables are included in the model as potential risk factors. In order to fully present this method, both the multivariate model and its univariate counterpart are examined. We fitted the two models to the data and assessed them using the deviance information criterion. A comparison of the results from the two models indicates that the multivariate model was superior to the univariate model. Our results show that population density and bar density are clearly associated with both burglary and non-motor vehicle theft risks and indicate a close relationship between these two types of crime. The posterior means and 2.5% percentile of type-specific crime risks estimated by the multivariate model were mapped to uncover the geographic patterns. The implications, limitations and future work of the study are discussed in the concluding section.
Injury prevention risk communication: A mental models approach
DEFF Research Database (Denmark)
Austin, Laurel Cecelia; Fischhoff, Baruch
2012-01-01
Individuals' decisions and behaviour can play a critical role in determining both the probability and severity of injury. Behavioural decision research studies peoples' decision-making processes in terms comparable to scientific models of optimal choices, providing a basis for focusing...... interventions on the most critical opportunities to reduce risks. That research often seeks to identify the ‘mental models’ that underlie individuals' interpretations of their circumstances and the outcomes of possible actions. In the context of injury prevention, a mental models approach would ask why people...... and uses examples to discuss how the approach can be used to develop scientifically validated context-sensitive injury risk communications....
Assessing risk factors for dental caries: a statistical modeling approach.
Trottini, Mario; Bossù, Maurizio; Corridore, Denise; Ierardo, Gaetano; Luzzi, Valeria; Saccucci, Matteo; Polimeni, Antonella
2015-01-01
The problem of identifying potential determinants and predictors of dental caries is of key importance in caries research and it has received considerable attention in the scientific literature. From the methodological side, a broad range of statistical models is currently available to analyze dental caries indices (DMFT, dmfs, etc.). These models have been applied in several studies to investigate the impact of different risk factors on the cumulative severity of dental caries experience. However, in most of the cases (i) these studies focus on a very specific subset of risk factors; and (ii) in the statistical modeling only few candidate models are considered and model selection is at best only marginally addressed. As a result, our understanding of the robustness of the statistical inferences with respect to the choice of the model is very limited; the richness of the set of statistical models available for analysis in only marginally exploited; and inferences could be biased due the omission of potentially important confounding variables in the model's specification. In this paper we argue that these limitations can be overcome considering a general class of candidate models and carefully exploring the model space using standard model selection criteria and measures of global fit and predictive performance of the candidate models. Strengths and limitations of the proposed approach are illustrated with a real data set. In our illustration the model space contains more than 2.6 million models, which require inferences to be adjusted for 'optimism'.
A modeling approach to hospital location for effective marketing.
Cokelez, S; Peacock, E
1993-01-01
This paper develops a mixed integer linear programming model for locating health care facilities. The parameters of the objective function of this model are based on factor rating analysis and grid method. Subjective and objective factors representative of the real life situations are incorporated into the model in a unique way permitting a trade-off analysis of certain factors pertinent to the location of hospitals. This results in a unified approach and a single model whose credibility is further enhanced by inclusion of geographical and demographical factors.
Mathematical and computer modeling of electro-optic systems using a generic modeling approach
Smith, M.I.; Murray-Smith, D.J.; Hickman, D.
2007-01-01
The conventional approach to modelling electro-optic sensor systems is to develop separate models for individual systems or classes of system, depending on the detector technology employed in the sensor and the application. However, this ignores commonality in design and in components of these systems. A generic approach is presented for modelling a variety of sensor systems operating in the infrared waveband that also allows systems to be modelled with different levels of detail and at diffe...
Deep Appearance Models: A Deep Boltzmann Machine Approach for Face Modeling
Duong, Chi Nhan; Luu, Khoa; Quach, Kha Gia; Bui, Tien D.
2016-01-01
The "interpretation through synthesis" approach to analyze face images, particularly Active Appearance Models (AAMs) method, has become one of the most successful face modeling approaches over the last two decades. AAM models have ability to represent face images through synthesis using a controllable parameterized Principal Component Analysis (PCA) model. However, the accuracy and robustness of the synthesized faces of AAM are highly depended on the training sets and inherently on the genera...
Earthquake response analysis of RC bridges using simplified modeling approaches
Lee, Do Hyung; Kim, Dookie; Park, Taehyo
2009-07-01
In this paper, simplified modeling approaches describing the hysteretic behavior of reinforced concrete bridge piers are proposed. For this purpose, flexure-axial and shear-axial interaction models are developed and implemented into a nonlinear finite element analysis program. Comparative verifications for reinforced concrete columns prove that the analytical predictions obtained with the new formulations show good correlation with experimental results under various levels of axial forces and section types. In addition, analytical correlation studies for the inelastic earthquake response of reinforced concrete bridge structures are also carried out using the simplified modeling approaches. Relatively good agreement is observed in the results between the current modeling approach and the elaborated fiber models. It is thus encouraging that the present developments and approaches are capable of identifying the contribution of deformation mechanisms correctly. Subsequently, the present developments can be used as a simple yet effective tool for the deformation capacity evaluation of reinforced concrete columns in general and reinforced concrete bridge piers in particular.
Bianchi VI0 and III models: self-similar approach
International Nuclear Information System (INIS)
Belinchon, Jose Antonio
2009-01-01
We study several cosmological models with Bianchi VI 0 and III symmetries under the self-similar approach. We find new solutions for the 'classical' perfect fluid model as well as for the vacuum model although they are really restrictive for the equation of state. We also study a perfect fluid model with time-varying constants, G and Λ. As in other studied models we find that the behaviour of G and Λ are related. If G behaves as a growing time function then Λ is a positive decreasing time function but if G is decreasing then Λ 0 is negative. We end by studying a massive cosmic string model, putting special emphasis in calculating the numerical values of the equations of state. We show that there is no SS solution for a string model with time-varying constants.
Modeling and control approach to a distinctive quadrotor helicopter.
Wu, Jun; Peng, Hui; Chen, Qing; Peng, Xiaoyan
2014-01-01
The referenced quadrotor helicopter in this paper has a unique configuration. It is more complex than commonly used quadrotors because of its inaccurate parameters, unideal symmetrical structure and unknown nonlinear dynamics. A novel method was presented to handle its modeling and control problems in this paper, which adopts a MIMO RBF neural nets-based state-dependent ARX (RBF-ARX) model to represent its nonlinear dynamics, and then a MIMO RBF-ARX model-based global LQR controller is proposed to stabilize the quadrotor's attitude. By comparing with a physical model-based LQR controller and an ARX model-set-based gain scheduling LQR controller, superiority of the MIMO RBF-ARX model-based control approach was confirmed. This successful application verified the validity of the MIMO RBF-ARX modeling method to the quadrotor helicopter with complex nonlinearity. © 2013 Published by ISA. All rights reserved.
Software sensors based on the grey-box modelling approach
DEFF Research Database (Denmark)
Carstensen, J.; Harremoës, P.; Strube, Rune
1996-01-01
In recent years the grey-box modelling approach has been applied to wastewater transportation and treatment Grey-box models are characterized by the combination of deterministic and stochastic terms to form a model where all the parameters are statistically identifiable from the on......-line measurements. With respect to the development of software sensors, the grey-box models possess two important features. Firstly, the on-line measurements can be filtered according to the grey-box model in order to remove noise deriving from the measuring equipment and controlling devices. Secondly, the grey......-box models may contain terms which can be estimated on-line by use of the models and measurements. In this paper, it is demonstrated that many storage basins in sewer systems can be used as an on-line flow measurement provided that the basin is monitored on-line with a level transmitter and that a grey...
Environmental Radiation Effects on Mammals A Dynamical Modeling Approach
Smirnova, Olga A
2010-01-01
This text is devoted to the theoretical studies of radiation effects on mammals. It uses the framework of developed deterministic mathematical models to investigate the effects of both acute and chronic irradiation in a wide range of doses and dose rates on vital body systems including hematopoiesis, small intestine and humoral immunity, as well as on the development of autoimmune diseases. Thus, these models can contribute to the development of the system and quantitative approaches in radiation biology and ecology. This text is also of practical use. Its modeling studies of the dynamics of granulocytopoiesis and thrombocytopoiesis in humans testify to the efficiency of employment of the developed models in the investigation and prediction of radiation effects on these hematopoietic lines. These models, as well as the properly identified models of other vital body systems, could provide a better understanding of the radiation risks to health. The modeling predictions will enable the implementation of more ef...
Modelling dynamic ecosystems : venturing beyond boundaries with the Ecopath approach
Coll, Marta; Akoglu, E.; Arreguin-Sanchez, F.; Fulton, E. A.; Gascuel, D.; Heymans, J. J.; Libralato, S.; Mackinson, S.; Palomera, I.; Piroddi, C.; Shannon, L. J.; Steenbeek, J.; Villasante, S.; Christensen, V.
2015-01-01
Thirty years of progress using the Ecopath with Ecosim (EwE) approach in different fields such as ecosystem impacts of fishing and climate change, emergent ecosystem dynamics, ecosystem-based management, and marine conservation and spatial planning were showcased November 2014 at the conference "Ecopath 30 years-modelling dynamic ecosystems: beyond boundaries with EwE". Exciting new developments include temporal-spatial and end-to-end modelling, as well as novel applications to environmental ...
Regularization of quantum gravity in the matrix model approach
International Nuclear Information System (INIS)
Ueda, Haruhiko
1991-02-01
We study divergence problem of the partition function in the matrix model approach for two-dimensional quantum gravity. We propose a new model V(φ) = 1/2Trφ 2 + g 4 /NTrφ 4 + g'/N 4 Tr(φ 4 ) 2 and show that in the sphere case it has no divergence problem and the critical exponent is of pure gravity. (author)
Gray-box modelling approach for description of storage tunnel
DEFF Research Database (Denmark)
Harremoës, Poul; Carstensen, Jacob
1999-01-01
The dynamics of a storage tunnel is examined using a model based on on-line measured data and a combination of simple deterministic and black-box stochastic elements. This approach, called gray-box modeling, is a new promising methodology for giving an on-line state description of sewer systems. ...... in a SCADA system because the most important information on the specific system is provided on-line...
Development of a Conservative Model Validation Approach for Reliable Analysis
2015-01-01
conservativeness level , the conservative probability of failure obtained from Section 4 must be maintained. The mathematical formulation of conservative model... CIE 2015 August 2-5, 2015, Boston, Massachusetts, USA [DRAFT] DETC2015-46982 DEVELOPMENT OF A CONSERVATIVE MODEL VALIDATION APPROACH FOR RELIABLE...PDF and a probability of failure are selected from these predicted output PDFs at a user-specified conservativeness level for validation. For
Macho, Siegfried; Ledermann, Thomas
2011-01-01
The phantom model approach for estimating, testing, and comparing specific effects within structural equation models (SEMs) is presented. The rationale underlying this novel method consists in representing the specific effect to be assessed as a total effect within a separate latent variable model, the phantom model that is added to the main…
Comparative flood damage model assessment: towards a European approach
Jongman, B.; Kreibich, H.; Apel, H.; Barredo, J. I.; Bates, P. D.; Feyen, L.; Gericke, A.; Neal, J.; Aerts, J. C. J. H.; Ward, P. J.
2012-12-01
There is a wide variety of flood damage models in use internationally, differing substantially in their approaches and economic estimates. Since these models are being used more and more as a basis for investment and planning decisions on an increasingly large scale, there is a need to reduce the uncertainties involved and develop a harmonised European approach, in particular with respect to the EU Flood Risks Directive. In this paper we present a qualitative and quantitative assessment of seven flood damage models, using two case studies of past flood events in Germany and the United Kingdom. The qualitative analysis shows that modelling approaches vary strongly, and that current methodologies for estimating infrastructural damage are not as well developed as methodologies for the estimation of damage to buildings. The quantitative results show that the model outcomes are very sensitive to uncertainty in both vulnerability (i.e. depth-damage functions) and exposure (i.e. asset values), whereby the first has a larger effect than the latter. We conclude that care needs to be taken when using aggregated land use data for flood risk assessment, and that it is essential to adjust asset values to the regional economic situation and property characteristics. We call for the development of a flexible but consistent European framework that applies best practice from existing models while providing room for including necessary regional adjustments.
A Final Approach Trajectory Model for Current Operations
Gong, Chester; Sadovsky, Alexander
2010-01-01
Predicting accurate trajectories with limited intent information is a challenge faced by air traffic management decision support tools in operation today. One such tool is the FAA's Terminal Proximity Alert system which is intended to assist controllers in maintaining safe separation of arrival aircraft during final approach. In an effort to improve the performance of such tools, two final approach trajectory models are proposed; one based on polynomial interpolation, the other on the Fourier transform. These models were tested against actual traffic data and used to study effects of the key final approach trajectory modeling parameters of wind, aircraft type, and weight class, on trajectory prediction accuracy. Using only the limited intent data available to today's ATM system, both the polynomial interpolation and Fourier transform models showed improved trajectory prediction accuracy over a baseline dead reckoning model. Analysis of actual arrival traffic showed that this improved trajectory prediction accuracy leads to improved inter-arrival separation prediction accuracy for longer look ahead times. The difference in mean inter-arrival separation prediction error between the Fourier transform and dead reckoning models was 0.2 nmi for a look ahead time of 120 sec, a 33 percent improvement, with a corresponding 32 percent improvement in standard deviation.
The Generalised Ecosystem Modelling Approach in Radiological Assessment
Energy Technology Data Exchange (ETDEWEB)
Klos, Richard
2008-03-15
An independent modelling capability is required by SSI in order to evaluate dose assessments carried out in Sweden by, amongst others, SKB. The main focus is the evaluation of the long-term radiological safety of radioactive waste repositories for both spent fuel and low-level radioactive waste. To meet the requirement for an independent modelling tool for use in biosphere dose assessments, SSI through its modelling team CLIMB commissioned the development of a new model in 2004, a project to produce an integrated model of radionuclides in the landscape. The generalised ecosystem modelling approach (GEMA) is the result. GEMA is a modular system of compartments representing the surface environment. It can be configured, through water and solid material fluxes, to represent local details in the range of ecosystem types found in the past, present and future Swedish landscapes. The approach is generic but fine tuning can be carried out using local details of the surface drainage system. The modular nature of the modelling approach means that GEMA modules can be linked to represent large scale surface drainage features over an extended domain in the landscape. System change can also be managed in GEMA, allowing a flexible and comprehensive model of the evolving landscape to be constructed. Environmental concentrations of radionuclides can be calculated and the GEMA dose pathway model provides a means of evaluating the radiological impact of radionuclide release to the surface environment. This document sets out the philosophy and details of GEMA and illustrates the functioning of the model with a range of examples featuring the recent CLIMB review of SKB's SR-Can assessment
Modeling of phase equilibria with CPA using the homomorph approach
DEFF Research Database (Denmark)
Breil, Martin Peter; Tsivintzelis, Ioannis; Kontogeorgis, Georgios
2011-01-01
For association models, like CPA and SAFT, a classical approach is often used for estimating pure-compound and mixture parameters. According to this approach, the pure-compound parameters are estimated from vapor pressure and liquid density data. Then, the binary interaction parameters, kij......, are estimated from binary systems; one binary interaction parameter per system. No additional mixing rules are needed for cross-associating systems, but combining rules are required, e.g. the Elliott rule or the so-called CR-1 rule. There is a very large class of mixtures, e.g. water or glycols with aromatic...... interaction parameters are often used for solvating systems; one for the physical part (kij) and one for the association part (βcross). This limits the predictive capabilities and possibilities of generalization of the model. In this work we present an approach to reduce the number of adjustable parameters...
A model-data based systems approach to process intensification
DEFF Research Database (Denmark)
Gani, Rafiqul
. Their developments, however, are largely due to experiment based trial and error approaches and while they do not require validation, they can be time consuming and resource intensive. Also, one may ask, can a truly new intensified unit operation be obtained in this way? An alternative two-stage approach is to apply...... for focused validation of only the promising candidates in the second-stage. This approach, however, would be limited to intensification based on “known” unit operations, unless the PI process synthesis/design is considered at a lower level of aggregation, namely the phenomena level. That is, the model......-based synthesis method must employ models at lower levels of aggregation and through combination rules for phenomena, generate (synthesize) new intensified unit operations. An efficient solution procedure for the synthesis problem is needed to tackle the potentially large number of options that would be obtained...
A Two Step Face Alignment Approach Using Statistical Models
Directory of Open Access Journals (Sweden)
Ying Cui
2012-10-01
Full Text Available Although face alignment using the Active Appearance Model (AAM is relatively stable, it is known to be sensitive to initial values and not robust under inconstant circumstances. In order to strengthen the ability of AAM performance for face alignment, a two step approach for face alignment combining AAM and Active Shape Model (ASM is proposed. In the first step, AAM is used to locate the inner landmarks of the face. In the second step, the extended ASM is used to locate the outer landmarks of the face under the constraint of the estimated inner landmarks by AAM. The two kinds of landmarks are then combined together to form the whole facial landmarks. The proposed approach is compared with the basic AAM and the progressive AAM methods. Experimental results show that the proposed approach gives a much more effective performance.
A review of function modeling : Approaches and applications
Erden, M.S.; Komoto, H.; Van Beek, T.J.; D'Amelio, V.; Echavarria, E.; Tomiyama, T.
2008-01-01
This work is aimed at establishing a common frame and understanding of function modeling (FM) for our ongoing research activities. A comparative review of the literature is performed to grasp the various FM approaches with their commonalities and differences. The relations of FM with the research
The Bipolar Approach: A Model for Interdisciplinary Art History Courses.
Calabrese, John A.
1993-01-01
Describes a college level art history course based on the opposing concepts of Classicism and Romanticism. Contends that all creative work, such as film or architecture, can be categorized according to this bipolar model. Includes suggestions for objects to study and recommends this approach for art education at all education levels. (CFR)
Model-independent approach for dark matter phenomenology ...
Indian Academy of Sciences (India)
We have studied the phenomenology of dark matter at the ILC and cosmic positron experiments based on model-independent approach. We have found a strong correlation between dark matter signatures at the ILC and those in the indirect detection experiments of dark matter. Once the dark matter is discovered in the ...